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

Philipp Meinen and Oke Röhe

No 33/2018, Discussion Papers from Deutsche Bundesbank

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 effects 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
New Economics Papers: this item is included in nep-eec, nep-ets and nep-mac
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Citations: View citations in EconPapers (21)

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Journal Article: To sign or not to sign? On the response of prices to financial and uncertainty shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bubdps:332018

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