Using Bayesian neural network local projections, the authors find US macro variables respond strongly to adverse financial shocks, weakly to benign shocks, and proportionally to shock size.
Credit and economic activity: credit regimes and nonlinear propagation of shocks,
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Machine Learning the Macroeconomic Effects of Financial Shocks
Using Bayesian neural network local projections, the authors find US macro variables respond strongly to adverse financial shocks, weakly to benign shocks, and proportionally to shock size.