全球智库信息集成服务系统(G2TT): Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w29638
来源ID	Working Paper 29638
	Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
	Pablo Ottonello; Wenting Song
发表日期	2022-01-10
出版年	2022
语种	英语
摘要	We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth in the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings announcements, based on U.S. tick-by-tick data. Using these shocks, we estimate that news of a 1-percent decline in intermediaries' net worth leads to a 0.2-0.4 percent decrease in the market value of nonfinancial firms. These effects are more pronounced for firms with high default risk and low liquidity and when the aggregate net worth of intermediaries is low.
主题	Macroeconomics ; Business Cycles ; Monetary Policy ; Financial Economics ; Financial Institutions
URL	https://www.nber.org/papers/w29638
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/587311
推荐引用方式 GB/T 7714	Pablo Ottonello,Wenting Song. Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification. 2022.