Financial shocks and the US business cycle

• 成果类型: Article
• 署名作者: Nolan, Charles; Thoenissen, Christoph
• 署名单位: University of St Andrews
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.03.007
• 发表日期: 2009
• 页码: 596-604
• 关键词: Financial accelerator; Financial shocks; Macroeconomic volatility

摘要

Employing the financial accelerator (FA) model of Bernanke et al. [1999. The Financial accelerator in a quantitative business cycle framework. In: Taylor. J.B.. Woodford, M. (Eds.), Handbook of Macroeconomics, vol. 1C. Handbooks in Economics, vol. 15. Elsevier, Amsterdam, pp. 1341-1393] enhanced to include a shock to the FA mechanism, we construct and study shocks to the efficiency of the financial sector during post-war US business cycles. These shocks are found to (i) be very tightly linked with the onset of recessions, more so than TFP or monetary shocks; (ii) remain contractionary after recessions have ended; (iii) account for a large part of the variance of GDP; (iv) be generally much more important than money shocks and (v) be strongly negatively correlated with the external finance premium. (C) 2009 Elsevier B.V. All rights reserved.