Abstract
The paper investigates the lead-lag relationships among systemic risk, economic uncertainty and real economic activity for top-5 contributors to global systemic risk, the USA, China, the UK, France and Japan, during January 2010-July 2023. By decomposing these variables into a below- and above-the-median components and applying VAR models to them, we confirm the presence of asymmetric relationships among systemic risk, economic uncertainty and real economic activity. Most of these asymmetric linkages are found for the USA, followed by the UK and China.
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