IDENTIFICATION OF FINANCIAL FACTORS IN ECONOMIC FLUCTUATIONS

• 成果类型: Article
• 署名作者: Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad
• 署名单位: Free University of Bozen-Bolzano; BI Norwegian Business School; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12520
• 发表日期: 2019
• 页码: 311-337
• 关键词: structural vector autoregressions; monetary-policy; credit; cycles; shocks; US; accelerator; DYNAMICS; spreads; IMPACT

摘要

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.