Financial shocks and the real economy in a nonlinear world: From theory to estimation

Silvestrini, Andrea; Zaghini, Andrea

doi:10.1016/j.jpolmod.2015.09.003

Cited by 22 publications

(3 citation statements)

References 39 publications

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“…The body of evidence on the impact of systemic stress on the (real) economy is more limited than for the financial stress. In this subsection, I focus on studies that use the CISS (see Chatterjee idr., 2017;Chavleishvili & Kremer, 2017;Chavleishvili & Manganelli, 2019;Dajčman et al, 2020;Hartmann et al, 2013;Holló et al, 2012;Kremer, 2016a;Silvestrini & Zaghini, 2015). Holló et al (2012) and Kremer (2016a) D. Romih: The Impact of Systemic Stress in the Euro Area on Bilateral Exports of Goods studied the impact of systemic stress on industrial production in the euro area.…”

Section: The Impact Of Systemic Stress On the (Real) Economymentioning

confidence: 99%

Characteristics of Services and Interdependency between Export and Innovation Intensity in the Sector of the Business Services

Rogelj¹,

Bojnec²,

Logožar³

2021

Contemporary Issues in International Economics

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In this chapter, we study services and their unique characteristics. We focus on characteristics of services, such as intangibility, immateriality; invisibility; perishability; temporary existence, sensitivity on time; non storability; inseparability; lack of inventory; sensibility of quality control; high degree of risk or difficulty in experimentation; no return possibility at un-satisfaction; customisation requirements; different distribution channels; and no rivalry. We also analyse the relations between exports, investments in development and innovation activities of Slovene business services sectors in two statistically different periods (2002-2008 and 2010-2016). A two-step approach to examine the firms’ performance in the selected business non-financial services sectors was applied. First, we used Simple Probit model, and in the second step, Simultaneous Probit model was used. The preliminary results suggest that the investment in R&D activities encourages export behaviour and that the export behaviour encourages investment in R&D activities.

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Section: The Impact Of Systemic Stress On the (Real) Economymentioning

confidence: 99%

Characteristics of Services and Interdependency between Export and Innovation Intensity in the Sector of the Business Services

Rogelj¹,

Bojnec²,

Logožar³

2021

Contemporary Issues in International Economics

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“…Consistent with previous findings, their studies suggest that the euro area needs to rethink some of its policies. Hartmann et al (2013) and Silvestrini and Zaghini (2015) studied the impact of systemic stress on GDP growth in the euro area in stress and non-stress regimes. They found that systemic stress negatively affects GDP growth only in stress regimes.…”

Section: The Impact Of Systemic Stress On the (Real) Economymentioning

confidence: 99%

EU Foreign Investment Policy – FDI Screening Mechanism to Advert Genuine Threats or Introducing Hidden Protectionism

Oplotnik¹,

Bessa-Vilela²,

Jesus-Silva³

2021

Contemporary Issues in International Economics

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For decades foreign direct investments (FDI) were privilege of companies from advanced economies, which invested in less developed economies and harvesting benefits of such activities. Leading position in capital, technology, managerial skills, etc, allowed them to penetrate markets of high potential but with less skills and lower costs (labour, raw material, etc) and standards (environmental, labour, etc.). Although USA and EU are still the far most advanced economies, adding majority of FDI to world stock and flow, since 2010, China is speeding up more than ever, investing in developed and non-developed eonomies. Only in Europe, Chinese companies invested more than 30 billion euros yearly in period from 2016 to 2018, comparing only 2 billion in 2010. That trend rised some concerns about Chinese nature of FDI, especially due to some of their peculiarities, noticed by schoolars, politiciant and domestic companies. In 2019 the EU issues Regulation (EU) 2019/452 that provides a framework for the screening of foreign direct investments and for cooperation.

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“…The theoretical framework of Bernanke et al (1999) and Kiyotaki and Moore (1997) can help explain how endogenous developments in financial markets amplify shocks to the real economy (Aprigliano & Liberati, 2021; Miglietta & Venditti, 2019). The interaction between financial factors and real economic activity has thus assumed a pivotal role in econometric tools for modeling and forecasting purposes (Borio et al, 2020; Crump et al, 2021; Claessens et al, 2012; Paccagnini, 2019; Silvestrini & Zaghini, 2015).…”

Section: Introductionmentioning

confidence: 99%

Nowcasting the state of the Italian economy: The role of financial markets

Ceci

Silvestrini

2023

Journal of Forecasting

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This paper compares several methods for constructing weekly nowcasts of recession probabilities in Italy, with a focus on the most recent period of the Covid‐19 pandemic. The common thread of these methods is that they use, in different ways, the information content provided by financial market data. In particular, a battery of probit models are estimated after extracting information from a large dataset of more than 130 financial market variables observed at a weekly frequency. The accuracy of these models is explored in a pseudo out‐of‐sample nowcasting exercise. The results demonstrate that nowcasts derived from probit models estimated on a large set of financial variables are, on average, more accurate than those delivered by standard probit models estimated on a single financial covariate, such as the slope of the yield curve. The proposed approach performs well even compared with probit models estimated on single time series of real economic activity variables, such as industrial production, business tendency survey data or composite PMI indicators. Overall, the financial indicators used in this paper can be easily updated as soon as new data become available on a weekly basis, thus providing reliable early estimates of the Italian business cycle.

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Financial shocks and the real economy in a nonlinear world: From theory to estimation

Cited by 22 publications

References 39 publications

Characteristics of Services and Interdependency between Export and Innovation Intensity in the Sector of the Business Services

Characteristics of Services and Interdependency between Export and Innovation Intensity in the Sector of the Business Services

EU Foreign Investment Policy – FDI Screening Mechanism to Advert Genuine Threats or Introducing Hidden Protectionism

Nowcasting the state of the Italian economy: The role of financial markets

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