News Shocks under Financial Frictions

• 成果类型: Article
• 署名作者: Gortz, Christoph; Tsoukalas, John D.; Zanetti, Francesco
• 署名单位: University of Birmingham; University of Glasgow; University of Oxford
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20170066
• 发表日期: 2022
• 页码: 210-243
• 关键词: business cycles; MARKETS; FUTURE; credit; prices

摘要

We examine the dynamic effects of TFP news shocks in the context of frictions in financial markets. We document two new facts. First, a shock to future TFP generates a significant decline in credit spread indicators along with a robust improvement in credit supply indi-cators. Second, we establish a tight link between TFP news shocks and shocks that explain the majority of un-forecastable movements in credit spread indicators. A DSGE model enriched with a financial sector of the Gertler-Kiyotaki-Karadi type generates very similar quantitative dynamics.