Identification of financial factors in economic fluctuations

Francesco Furlanetto, Francesco Ravazzolo and Samad Sarferaz

No 14-364, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: We estimate demand, supply, monetary, investment and nancial 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-upfinancial shocks are even more important and a leading role is played by housing shocks that have large and persistent effects on output.

Keywords: VAR; Sign restrictions; Nancial shocks; External nance premium; Housing; Uncertainty (search for similar items in EconPapers)
Pages: 55 pages
Date: 2014-01
New Economics Papers: this item is included in nep-fdg and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://dx.doi.org/10.3929/ethz-a-010200285 (application/pdf)

Related works:
Journal Article: Identification of Financial Factors in Economic Fluctuations (2019)
Working Paper: Identification of financial factors in economic fluctuations (2014)
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:kof:wpskof:14-364

Access Statistics for this paper

More papers in KOF Working papers from KOF Swiss Economic Institute, ETH Zurich Contact information at EDIRC.
Bibliographic data for series maintained by ().