Furlanetto, Francesco Ravazzolo, Francesco Sarferaz, Samad
Year of Publication:
Working Paper 09/2014
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.
VAR sign restrictions financial shocks external finance premium housing uncertainty