EconPapers    
Economics at your fingertips  
 

To sign or not to sign? On the response of prices to financial and uncertainty shocks

Philipp Meinen and Oke Roehe
Authors registered in the RePEc Author Service: Oke Röhe

Economics Letters, 2018, vol. 171, issue C, 189-192

Abstract: Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their impact on prices. While our results confirm that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of consumer prices to be ambiguous. Moreover, restricting prices to co-moving with output can considerably attenuate the measured impact of financial and uncertainty shocks on real activity.

Keywords: Financial shocks; Uncertainty shocks; Sign restrictions; Euro area; United States (search for similar items in EconPapers)
JEL-codes: C11 C32 E32 E44 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518303057
Full text for ScienceDirect subscribers only

Related works:
Working Paper: To sign or not to sign? On the response of prices to financial and uncertainty shocks (2018) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:171:y:2018:i:c:p:189-192

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-04-13
Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:189-192