Financial shocks generate a protracted and quantitatively important effect on
real economic activity and financial markets only if the shocks are both negative
and large. Otherwise, their role is quite modest. Financial shocks have become more important for economic fluctuations after the 2000 and have contributed
substantially to deepening the recessions of 2001 and 2008. The evidence is
obtained using a new econometric procedure based on a Vector Moving Average
representation that includes a nonlinear function of the financial shock. This
method is a contribution of the present work.