arXiv 5 Jun 2020 · Econometrics
arXiv:2006.03301 · PDF · DOI · OpenAlex · Extracted main text
We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Gambetti, L. and Musso, A (2017) Loan supply shocks and the business cycle | 1.000 | 11 | 4 | 100% |
| 2 | Hristov, N., Hülsewig, O., and Wollmershäuser, T (2012) Loan supply shocks during the financial crisis: Evidence for the euro area | 1.000 | 7 | 3 | 100% |
| 3 | Gerali, A., Neri, S., Sessa, L., and Signoretti, F. M (2010) Credit and Banking in a DSGE Model of the Euro Area | 1.000 | 5 | 5 | 100% |
| 4 | Abbate, A., Eickmeier, S., and Prieto, E (2016) Financial shocks and inflation dynamics | 1.000 | 5 | 3 | 100% |
| 5 | Gilchrist, S., Schoenle, R., Sim, J., and Zakrajsek, E (2017) Inflation Dynamics during the Financial Crisis | 0.928 | 4 | 4 | 100% |
| 6 | Lanne, M. and Luoto, J (2020) Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression | 0.874 | 7 | 2 | 100% |
| 7 | Gertler, M. and Karadi, P (2011) A model of unconventional monetary policy | 0.843 | 3 | 3 | 100% |
| 8 | Barnett, A. and Thomas, R (2014) Has Weak Lending and Activity in the UK been Driven by Credit Supply Shocks? | 0.737 | 3 | 2 | 100% |
| 9 | Brunnermeier, M., Palia, D., Sastry, K. A., Sims, C. A., et al (2017) Feedbacks: financial markets and economic activity | 0.737 | 3 | 2 | 100% |
| 10 | Gilchrist, S. and Zakrajsek, E (2012) Credit Spreads and Business Cycle Fluctuations | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 26 scored citations.