On the Identification of Financial and Uncertainty Shocks
Simon Gilchrist (),
Egon Zakrajsek (),
Cristina Fuentes-Albero () and
Additional contact information
Dario Caldara: Federal Reserve Board of Governors
No 965, 2013 Meeting Papers from Society for Economic Dynamics
There is a consensus about the increasing exposure to disruptions in the financial system and economic uncertainty over the recent years. Despite their different implications for policy, discriminating empirically between these two sources of economic fluctuations is not an easy task because their available empirical proxies are strongly correlated. We aim at making progress in discriminating financial and uncertainty shocks by means of an atheoretical approach to identification following the penalty function proposed by Uhlig (2003). We conclude that while the uncertainty channel plays a negligible role in the transmission of financial shocks; the financial channel is key in the transmission of uncertainty shocks. Financial shocks generate slowly-building and economically significant recessions followed by slow recoveries. Uncertainty shocks generate similar adverse effects if transmitted through the financial channel; otherwise, they have significantly smaller effects in economic activity.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:red:sed013:965
Access Statistics for this paper
More papers in 2013 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().