| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22058 |
| 来源ID | Working Paper 22058 |
| The Macroeconomic Impact of Financial and Uncertainty Shocks | |
| Dario Caldara; Cristina Fuentes-Albero; Simon Gilchrist; Egon Zakrajšek | |
| 发表日期 | 2016-03-07 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to examine the interaction between financial conditions and economic uncertainty and to trace out the impact of these two types of shocks on the economy. The results indicate that (1) financial shocks have a significant adverse effect on economic outcomes and that such shocks were an important source of cyclical fluctuations since the mid-1980s; (2) uncertainty shocks, especially those implied by uncertainty proxies that do not rely on financial asset prices, are also an important source of macroeconomic disturbances; and (3) uncertainty shocks have an especially negative economic impact in situations where they elicit a concomitant tightening of financial conditions. Evidence suggests that the Great Recession was likely an acute manifestation of the toxic interaction between uncertainty and financial shocks. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates |
| URL | https://www.nber.org/papers/w22058 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579731 |
| 推荐引用方式 GB/T 7714 | Dario Caldara,Cristina Fuentes-Albero,Simon Gilchrist,et al. The Macroeconomic Impact of Financial and Uncertainty Shocks. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22058.pdf（550KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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