shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

higher income and higher levels of consumption are affected more by this shock than households located towards the lower end … effect of this shock on aggregate output. …

shock proxies on the estimated impulse responses from these SVAR models. We show via a Monte Carlo experiment that … uncertainty shock proxy as an instrument to identify the underlying shock does not suffer from this bias. Applying this proxy SVAR …

instrumental variable procedure to estimate the impact of the credit shock performs well and is relatively robust to measurement …, VARs of the narrative variety, i.e. VAR models that include measures of the credit shock as endogenous variables are highly … suggests, however, that the credit supply shock is hard to identify in practice. …

macroeconomy to financial friction shocks. Using US data, we find that the transmission of the financial friction shock to economic … variables, such as output growth, has not changed in the last 30 years. The volatility of the financial friction shock, however …, has changed, so that output responses to a one-standard deviation shock increase twofold in the 2007-2011 period in …