The Institute of Public Finance and the Croatian National Bank organised the presentation of the paper by Tihana Škrinjarić, advisor at the Croatian National Bank, titled
Macroeconomic effects of systemic stress: a rolling spillover index approach, which was published in the journal
Public Sector Economics. The paper explores the interaction between systemic risk and selected macroeconomic variables in order to obtain better insights into the reactions of the real economy and the emergence of systemic risk under different economic conditions. The results of the analysis indicate that shocks in systemic stress significantly affect future negative real activity and that monetary policy is extremely responsive to stress changes. Systemic stress receives more shocks than inflation, which means that the inflation stabilization policy (especially before the global financial crisis) had an effect on the reduction of volatility of systemic stress, while credit activity emerged as the least prone to reaction, but with the most stable shock spillover index.