• The impact of financial shocks on the forecast distribution of output and inflation 

      Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; Sala, Luca (Working paper;3/2023, Working paper, 2023)
      Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions ...
    • Nonlinear transmission of financial shocks: Some new evidence 

      Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; Sala, Luca (Working paper;3/2022, Working paper, 2022)
      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 ...