Deflationary financial shocks and inflationary uncertainty shocks: An SVAR investigation

Arbeitspapier

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to uncertainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck with too low a price. This explains why goods prices may increase at the onset of a recession and are not accompanied by pronounced deflationary pressures. The two shocks are identified jointly with an approach that is less restrictive than Antolín-Díaz and Rubio-Ramírez's method.

Angaben zum Objekt

• ISBN: 978-92-899-5314-6
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 2727

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles
• Thema: Business cycles ; financial shocks ; uncertainty shocks ; SVAR ; narrative identification

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): De Santis, Roberto A. ; Van der Veken, Wouter
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2022

Weitere Informationen

• DOI: doi:10.2866/388242
• Handle: http://hdl.handle.net/10419/269134
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ