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Asymmetries in Financial Spillovers

Author

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  • Florian Huber
  • Karin Klieber
  • Massimiliano Marcellino
  • Luca Onorante
  • Michael Pfarrhofer

Abstract

This paper analyzes nonlinearities in the international transmission of financial shocks originating in the US. To do so, we develop a flexible nonlinear multi-country model. Our framework is capable of producing asymmetries in the responses to financial shocks for shock size and sign, and over time. We show that international reactions to US-based financial shocks are asymmetric along these dimensions. Particularly, we find that adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks. Further, we investigate time variation in the estimated dynamic effects and characterize the responsiveness of three major central banks to financial shocks.

Suggested Citation

  • Florian Huber & Karin Klieber & Massimiliano Marcellino & Luca Onorante & Michael Pfarrhofer, 2024. "Asymmetries in Financial Spillovers," Papers 2410.16214, arXiv.org.
  • Handle: RePEc:arx:papers:2410.16214
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    References listed on IDEAS

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