Projects per year
Abstract
We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.
Original language | English |
---|---|
Journal | arXiv.org |
Number of pages | 15 |
ISSN | 2331-8422 |
Publication status | In preparation - 5 Jun 2020 |
MoE publication type | B1 Journal article |
Fields of Science
- 511 Economics
- econ.EM
- econ.GN
- q-fin.EC
Projects
- 1 Finished
-
Structural Analysis of Non-Gaussian Macroeconomic and Financial Time Series
Lanne, M. (Project manager), Saikkonen, P. (Principal Investigator), Meitz, M. (Principal Investigator), Luoto, J. (Principal Investigator), Funovits, B. (Project manager) & Palmén, O. (Participant)
01/09/2017 → 31/08/2021
Project: Research project