Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/102972
Authors: 
Furlanetto, Francesco
Ravazzolo, Francesco
Sarferaz, Samad
Year of Publication: 
2014
Series/Report no.: 
KOF Working Papers, KOF Swiss Economic Institute, ETH Zurich 364
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.
Subjects: 
VAR
sign restrictions
financial shocks
external finance premium
housing
uncertainty
JEL: 
C11
C32
E32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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