News Shocks under Financial Frictions

We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets. We document two new facts using VAR methods which provide robust evidence on the importance credit spreads for the propagation of news shocks. A DSGE model with financial frictions shows these are critical for the amplification of TFP news shocks. The very similar quantitative dynamics implied by VAR and DSGE methodologies provides support for the `news view' of business cycles.

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Year of publication:	2017
Authors:	Görtz, Christoph ; Tsoukalas, John ; Zanetti, Francesco
Publisher:	Kiel, Hamburg : ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

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Series:	Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Financial Frictions ; D06-V1
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Conference Paper
Language:	English
Other identifiers:	hdl:10419/168066 [Handle] RePEc:zbw:vfsc17:168066 [RePEc]
Classification:	E2 - Consumption, Saving, Production, Employment, and Investment ; E3 - Prices, Business Fluctuations, and Cycles
Source:	EconStor

Persistent link: https://www.econbiz.de/10011712579