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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)
New Economics Papers: this item is included in nep-fdg and nep-mac
Date: 2014-01
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