Konferenzbeitrag
News Shocks under Financial Frictions
We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets. We document two new facts using VAR methods which provide robust evidence on the importance credit spreads for the propagation of news shocks. A DSGE model with financial frictions shows these are critical for the amplification of TFP news shocks. The very similar quantitative dynamics implied by VAR and DSGE methodologies provides support for the `news view' of business cycles.
- Language
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Englisch
- Bibliographic citation
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Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Frictions ; No. D06-V1
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Görtz, Christoph
Tsoukalas, John
Zanetti, Francesco
- Event
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Veröffentlichung
- (who)
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
- (where)
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Kiel, Hamburg
- (when)
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2017
- Handle
- Last update
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11.03.2025, 5:43 PM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Konferenzbeitrag
Associated
- Görtz, Christoph
- Tsoukalas, John
- Zanetti, Francesco
- ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft
Time of origin
- 2017
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The Effects of International Financial Integration in a Model with Heterogeneous Firms and Credit Frictions
Capital Market Frictions and Economic Geography
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Information Frictions among Firms and Households
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Information Frictions, Global Capital Markets, and the Telegraph
Labour Market Frictions, Monetary Policy, and Durable Goods
News Shocks under Financial Frictions
News Shocks and Optimal Simple Rules
Do Tax Changes Affect Credit Markets and Financial Frictions? Evidence from Credit Spreads
The Effects of International Financial Integration in a Model with Heterogeneous Firms and Credit Frictions
Capital Market Frictions and Economic Geography
Regional Matching Frictions and Aggregate Unemployment
Information Frictions among Firms and Households
A Proposed Model for Stock Price Prediction Based on Financial News
The Impact of Uncertainty and Financial Shocks in Recessions and Booms
Contracting frictions and inefficient layoffs of older workers
Information Frictions, Global Capital Markets, and the Telegraph