News Shocks under Financial Frictions

Christoph Görtz, John Tsoukalas and Francesco Zanetti

VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking from Verein für Socialpolitik / German Economic Association

Abstract: We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets. We document two new facts using VAR methods which provide robust evidence on the importance credit spreads for the propagation of news shocks. A DSGE model with financial frictions shows these are critical for the amplification of TFP news shocks. The very similar quantitative dynamics implied by VAR and DSGE methodologies provides support for the `news view' of business cycles.

JEL-codes: E2 E3 (search for similar items in EconPapers)
Date: 2017
New Economics Papers: this item is included in nep-cta, nep-dge and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: News Shocks under Financial Frictions (2022)
Working Paper: News Shocks under Financial Frictions (2021)
Working Paper: News Shocks under Financial Frictions (2020)
Working Paper: News Shocks under Financial Frictions (2020)
Working Paper: News shocks under financial frictions (2020)
Working Paper: News Shocks under Financial Frictions (2016)
Working Paper: News Shocks under Financial Frictions (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:vfsc17:168066

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