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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. First, a (positive) shock to future TFP generates a significant decline in various credit spread indicators considered in the...
Persistent link: https://www.econbiz.de/10012425634
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are...
Persistent link: https://www.econbiz.de/10010317027
Using a two-sector estimated DSGE model with a financial channel we show the sector where TFP news arrives matters for its propagation and quantitative importance. Anticipated increases in TFP expected to arrive in the consumption sector are expansionary while those in the investment sector are...
Persistent link: https://www.econbiz.de/10009753003
Persistent link: https://www.econbiz.de/10009660610
Persistent link: https://www.econbiz.de/10011539177
Persistent link: https://www.econbiz.de/10012501472
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. First, a (positive) shock to future TFP generates a significant decline in various credit spread indicators considered in the...
Persistent link: https://www.econbiz.de/10012373126
Persistent link: https://www.econbiz.de/10012534285
An important disconnect in the news driven view of the business cycle formalized by Beaudry and Portier (2004), is the lack of agreement between different—VAR and DSGE—methodologies over the empirical plausibility of this view. We argue that this disconnect can be largely resolved once we...
Persistent link: https://www.econbiz.de/10011019231
We estimate a two-sector DSGE model with financial intermediaries—a-la Gertler and Karadi 2011) and Gertler and Kiyotaki (2010)—and quantify the importance of financial shocks in accounting for aggregate and sectoral fluctuations. Our results indicate a significant role of financial market...
Persistent link: https://www.econbiz.de/10011260055