News Shocks under Financial Frictions

Christoph Görtz, John D. Tsoukalas and Francesco Zanetti

American Economic Journal: Macroeconomics, 2022, vol. 14, issue 4, 210-43

Abstract: 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 indicators. Second, we establish a tight link between TFP news shocks and shocks that explain the majority of unforecastable movements in credit spread indicators. A DSGE model enriched with a financial sector of the Gertler-Kiyotaki-Karadi type generates very similar quantitative dynamics.

JEL-codes: E12 E31 E32 E44 G12 G21 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (11)

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Related works:
Working Paper: News Shocks under Financial Frictions (2021)
Working Paper: News Shocks under Financial Frictions (2020)
Working Paper: News Shocks under Financial Frictions (2020)
Working Paper: News shocks under financial frictions (2020)
Working Paper: News Shocks under Financial Frictions (2017)
Working Paper: News Shocks under Financial Frictions (2016)
Working Paper: News Shocks under Financial Frictions (2016)
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DOI: 10.1257/mac.20170066

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