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Identification of financial factors in economic fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad
Journal article, Peer reviewed
Accepted version
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Ravazzolo_AM_2019.pdf (646.0Kb)
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http://hdl.handle.net/11250/2634157
Utgivelsesdato
2017
Metadata
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  • Publikasjoner fra CRIStin - BI [633]
  • Scientific articles [1667]
Originalversjon
Economic Journal. 2019, 129 (617), 311-337.   10.1111/ecoj.12520
Sammendrag
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.
Utgiver
Oxford Uni. Press
Tidsskrift
Economic Journal
Opphavsrett
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.”

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