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 …

policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and …

model. We find that a union aggregate systemic risk shock results in a sharp decline in output, with two thirds of the …

response to un-certainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …