Nonlinear Transmission of Financial Shocks: Some New Evidence
研究发现，只有负向且大规模的金融冲击才会对实体经济和金融市场产生持久且显著的影响，而小冲击作用有限；2000年后金融冲击对经济波动的重要性上升，并加剧了2001年和2008年的衰退。
Abstract Financial shocks generate a protracted and quantitatively important effect on real economic activity and financial markets only if the shocks are both negative and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after 2000 and have contributed substantially to deepening the recessions of 2001 and 2008. The evidence is obtained using a new econometric procedure based on a Vector Moving Average representation that includes a nonlinear function of the financial shock. This method is a contribution of the present work.