Purpose

In spite of the certain risk imposed by financial stress on the real economy, the relationship between financial stress and economic activity is complicated and underresearched, meaning that important gaps still remain in the authors’ understanding of this critical relationship. Therefore, the current study aims to answer the significant question regarding whether a stressful financial sector has predictive power on the real sector and vice versa. Hence, the study examines the causal interrelationship between financial stress index (FSI) and economic activity in Luxembourg as a sample country.

Design/methodology/approach

In this study, accompanying the time domain Granger causality framework of Hacker and Hatemi-J (2012), the authors utilize the spectral causality technique of Breitung and Candelon (2006), which is based on the study of Geweke (1982) and Hosoya (1991). This method enables the researcher to measure the degree of a particular variation in time series. Moreover, it allows considering the nonlinearities and causality cycles. The authors further apply the recent method of Farné and Montanari (2018) that is a bootstrap framework on Granger-causality spectra, which allows for disambiguation in causalities.

Findings

The time-domain approach finds evidence of bidirectional causation between the variables. However, the spectral causality results indicate the causal linkages between the series are only valid under the medium-run frequency. This study’s findings emphasize covering the frequency causality to deliver a more comprehensive picture of the interrelationship between the variables.

Originality/value

There are many studies in this area that examine the nexus between financial stress and economic activity. However, the authors believe this paper is the first study in the context of Luxemburg. The authors focus on this country since its financial sector is designated as the most important pillar for the economy. Thus, a careful and reliable examination of the relationship between the financial sector and economic activity is likely to be of considerable interest to policymakers and researchers in this field.

中文翻译：

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金融压力指数与经济活动之间的联系：卢森堡不同频率的突出格兰杰因果关系

目的

尽管金融压力给实体经济带来了一定的风险，但金融压力与经济活动之间的关系复杂且研究不足，这意味着作者对这种关键关系的理解仍然存在重大差距。因此，当前的研究旨在回答一个重要的问题，即压力大的金融部门是否对实体部门具有预测能力，反之亦然。因此，该研究考察了卢森堡作为样本国家的金融压力指数 (FSI) 与经济活动之间的因果关系。

设计/方法/方法

在这项研究中，伴随着 Hacker 和 Hatemi-J (2012) 的时域 Granger 因果关系框架，作者利用了 Breitung 和 Candelon (2006) 的谱因果关系技术，该技术基于 Geweke (1982) 和 Hosoya ( 1991）。这种方法使研究人员能够测量时间序列中特定变化的程度。此外，它允许考虑非线性和因果循环。作者进一步应用了 Farné 和 Montanari（2018）的最新方法，该方法是格兰杰因果关系谱的引导框架，可以消除因果关系中的歧义。

发现

时域方法可以找到变量之间双向因果关系的证据。然而，光谱因果关系结果表明序列之间的因果联系仅在中期频率下有效。本研究的发现强调覆盖频率因果关系，以提供有关变量之间相互关系的更全面图景。

原创性/价值

该领域有许多研究探讨了金融压力与经济活动之间的关系。然而，作者认为这篇论文是在卢森堡语境中的第一项研究。作者关注这个国家，因为其金融部门被指定为经济最重要的支柱。因此，对该领域的政策制定者和研究人员来说，对金融部门与经济活动之间的关系进行仔细而可靠的研究可能会引起相当大的兴趣。