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来源类型Working Paper
规范类型报告
DOI10.3386/w22058
来源IDWorking 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
URLhttps://www.nber.org/papers/w22058
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/579731
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GB/T 7714
Dario Caldara,Cristina Fuentes-Albero,Simon Gilchrist,et al. The Macroeconomic Impact of Financial and Uncertainty Shocks. 2016.
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