Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/210058
Authors: 
Furlanetto, Francesco
Ravazzolo, Francesco
Sarferaz, Samad
Year of Publication: 
2014
Series/Report no.: 
Working Paper 09/2014
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: 
ISBN: 
978-82-7553-817-6
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.no
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





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