Rare shocks vs. non-linearities: What drives extreme events in the economy? Some empirical evidence
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DOI: 10.1016/j.jedc.2016.12.005
Abstract: A small-scale vector autoregression (VAR) is used to shed some light on the roles of extreme shocks and non-linearities during stress events observed in the economy. The model focuses on the link between credit/financial markets… read more here.
Keywords: extreme shocks; shocks non; evidence; non linearities ... See more keywords