Gächter, Martin; Geiger, Martin; Stöckl, Sebastian (2020): Credit Intermediation and the Transmission of Macro-Financial Uncertainty: International Evidence. Journal of International Money and Finance, 108.


This paper introduces a novel measure of global macro-financial uncertainty and examines the state-dependent transmission of uncertainty to economic activity. We show that global uncertainty shocks have adverse and nonlinear macroeconomic effects, with the nonlinearity being driven by different levels of country-specific banking sector distress. Both macroeconomic and financial market uncertainty are associated with lower economic activity, with the latter exerting stronger effects. The state dependency of the effect is prevalent in both cases. Our findings have important policy implications, highlighting both the state of the banking sector as well as the origin of uncertainty as crucial factors in the transmission of uncertainty.

Keywords: uncertainty, credit intermediation, local projection method, state-dependency

JEL classification: D80, E32, E44, G21