This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous … change in financial intermediaries' preference for "high" liquid assets. The identified shock has sizeable and state …

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

-lasting effects on output and total factor productivity (TFP). In this paper, I argue that the typical monetary shock has been … confounded with the news shock about future technology. I propose and implement a novel SVAR approach that effectively ``cleans …'' the technology component from the traditional Cholesky monetary shock. With the new identification, I find that a monetary …

the pre-1980 period. Measuring expectations of future monetary policy rates conditional on a news shock suggests that the …