کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5066435 1476780 2016 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The macroeconomic impact of financial and uncertainty shocks
ترجمه فارسی عنوان
تأثیر اقتصاد کلان از شوکهای مالی و عدم اطمینان
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to examine the interaction between financial conditions and economic uncertainty and to trace out the impact of these two types of shocks on the economy. The results indicate that (1) financial shocks have a significant adverse effect on economic outcomes and that such shocks were an important source of cyclical fluctuations since the mid-1980s; (2) uncertainty shocks, especially those implied by uncertainty proxies that do not rely on financial asset prices, are also an important source of macroeconomic disturbances; and (3) uncertainty shocks have an especially negative economic impact in situations where they elicit a concomitant tightening of financial conditions. Evidence suggests that the Great Recession was likely an acute manifestation of the toxic interaction between uncertainty and financial shocks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 88, September 2016, Pages 185-207
نویسندگان
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