The price puzzle is the association in a structural vector autoregression (SVAR) of a contractionary shock to monetary …

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 …

A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on … restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting …

confirm the shock labeling for Japan. Through historical decompositions we observe that stock prices tended to be undervalued …

monetary policy shock on credit risk is amplified when considering the feedback effect deriving from macroeconomic and equity …

“high-frequency” identification scheme, we illustrate our method by identifying uncertainty shock for the U.S. economy. As … estimating a mixed-frequency framework. The bias is amplified in case of a large mismatching between the high-frequency shock and …

“high-frequency” identification scheme, we provide novel empirical evidence of identifying uncertainty shock for the US … estimating a mixed-frequency framework. The bias is amplified when we identify a higher frequency shock …