Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/265218 
Year of Publication: 
2022
Series/Report no.: 
Bank of Canada Staff Working Paper No. 2022-24
Publisher: 
Bank of Canada, Ottawa
Abstract: 
We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings announcements, based on US tick-by-tick data. Using these shocks, we estimate that news of a 1% decline in intermediaries' net worth leads to a 0.2% to 0.4% decrease in the market value of nonfinancial firms. These effects are more pronounced for firms with high default risk and low liquidity and when the aggregate net worth of intermediaries is low.
Subjects: 
Asset pricing
Business fluctuations and cycles
Credit and credit aggregates
Financial institutions
Financial markets
Financial system regulation and policies
Monetary and financial indicators
JEL: 
E32
E44
E51
G01
G12
G21
G23
G24
G32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.