Identification of financial factors in economic fluctuations

Arbeitspapier

We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock prices and investment but have a limited effect on inflation. In a second step we disentangle shocks originating in the housing sector, shocks originating in credit markets and uncertainty shocks. In the extended set-up financial shocks are even more important and a leading role is played by housing shocks that have large and persistent effects on output.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: KOF Working Papers ; No. 364

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles
• Thema: VAR ; sign restrictions ; financial shocks ; external finance premium ; housing ; uncertainty

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Furlanetto, Francesco ; Ravazzolo, Francesco ; Sarferaz, Samad
• Ereignis: Veröffentlichung
• (wer): ETH Zurich, KOF Swiss Economic Institute
• (wo): Zurich
• (wann): 2014

Weitere Informationen

• DOI: doi:10.3929/ethz-a-010200285
• Handle: http://hdl.handle.net/10419/102972
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ