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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: KOF Working Papers ; No. 364

Classification and Topics

• Classification: 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
• Subject: VAR ; sign restrictions ; financial shocks ; external finance premium ; housing ; uncertainty

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Furlanetto, Francesco ; Ravazzolo, Francesco ; Sarferaz, Samad
• Event: Veröffentlichung
• (who): ETH Zurich, KOF Swiss Economic Institute
• (where): Zurich
• (when): 2014

Further information

• DOI: doi:10.3929/ethz-a-010200285
• Handle: http://hdl.handle.net/10419/102972
• Last update: 10.03.2025, 11:44 AM CET