Financial Stress Regimes and the Macroeconomy
识别了金融压力状态，发现企业信贷紧缩和NBER衰退与之相关，且金融条件恶化在经济活动中产生强烈负面影响，并在压力状态下放大通胀下行。
Abstract Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes. The stress regimes are identified using an unbalanced panel of financial variables with an embedded method for variable selection. Our identified stress regimes are associated with corporate credit tightening and with NBER recessions. An exogenous deterioration in our financial conditions index has strong negative effects in economic activity, and negative amplification effects on inflation in the stress regime. These results are obtained with a novel factor‐augmented vector autoregressive model with smooth‐transition regimes (FASTVAR).