Identification of financial factors in economic fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad
Journal article, Peer reviewed
Accepted version
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URI
http://hdl.handle.net/11250/2634157
Date
2017
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Original version
Economic Journal. 2019, 129 (617), 311-337.   10.1111/ecoj.12520
Abstract
We estimate demand, supply, monetary, investment and financial 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‐up, financial shocks are even more important and a leading role is played by housing shocks that have large and persistent effects on output.
Publisher
Oxford Uni. Press
Journal
Economic Journal
Copyright
Copyright policy of Oxford University Press, the publisher of this journal: The authors retain rights to “upload their accepted manuscript PDF ("a post-print*") to institutional and/or centrally organized repositories, but must stipulate that public availability be delayed until 24 months after first online publication in the journal.”