Norges Bank

Working Paper

Identification of financial factors in economic fluctuations

Author:
Francesco Furlanetto, Francesco Ravazzolo, Samad Sarferaz
Series:
Working Paper
Number:
9/2014

We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign restrictions on US data. We find that financial shocks are major drivers of fluctuations in output, stock prices and investment but have a limited effect on inflation. In a second step we disentangle shocks originating in the housing sector, shocks originating in credit markets and uncertainty shocks. In the extended set-up financial shocks are even more important and a leading role is played by housing shocks that have large and persistent effects on output.

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ISSN 1502-8190 (online)

Published 17 July 2014 15:15
Published 17 July 2014 15:15