Abstract (EN)

The interplay between financial factors and the real economy is now a focal point of macroeconomic research. The introductory chapter seeks to provide a conceptual framework for the study of macro-financial linkages. The rest of the thesis falls within the impetus to research programs brought to the fore by the recent crisis. The second chapter claims that the Financial Cycle is made up of two different components, the Credit Cycle and the Financial Condition Cycle. The two cycles are identified in the light of their impact on economic activity and their relevance is assessed on the grounds of their contribution for the real-time estimation of the output gap. The third chapter uses a datadriven technique to unravel the contemporaneous causal ordering between economic variables and financial variables and investigates the impact of structural financial shocks on economic activity. The final chapter explores, via a battery of econometric and Machine Learning models, whether the inherently unstable nature of financial variables’ predictive power for output is related to the modelling framework or to the variables themselves.