IDEAS home Printed from https://ideas.repec.org/p/boi/wpaper/2010.02.html
   My bibliography  Save this paper

Real Effects of Financial Signals and Surprises

Author

Listed:
  • Avihay Sorezcky

    (Bank of Israel)

Abstract

The recent financial crisis in the US economy drew considerable interest in understanding the interaction between the financial and the real sectors. In this paper I develop a model with financial effects on business cycle fluctuations, based on Real Business Cycle and Financial Accelerator frameworks. In the model I distinguish between financial signals and surprises, i.e., between financial expectations and unexpected realizations. This allows me to decompose the real effects of those shocks. By estimating the model, using Bayesian methods on US data, I find that financial shocks have an important role in business cycle fluctuations. I also find that financial signals and financial surprises have similar effects on the real sector.

Suggested Citation

  • Avihay Sorezcky, 2010. "Real Effects of Financial Signals and Surprises," Bank of Israel Working Papers 2010.02, Bank of Israel.
    • Handle: RePEc:boi:wpaper:2010.02
    as

    Download full text from publisher

    File URL: https://boiwebrepec.azurefd.net/RePEc/boi/wpaper/WP_2010.02.pdf
    File Function: First version, 2010
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:boi:wpaper:2010.02. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Yossi Yakhin (email available below). General contact details of provider: https://edirc.repec.org/data/boigvil.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.