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Exploring Interactions between Real Activity and the Financial Stance

  • Jacobson, Tor

    ()

    (Research Department, Central Bank of Sweden)

  • Lindé, Jesper

    ()

    (Research Department, Central Bank of Sweden)

  • Roszbach, Kasper

    ()

    (Research Department, Central Bank of Sweden)

In this paper we empirically study interactions between real activity and the financial stance. Using aggregate data we examine a number of candidate measures of the financial stance of the economy. We find strong evidence for substantial spillover effects on aggregate activity from our preferred measure. Given this result, we use a large micro data-set for corporate firms to develop a macro-micro model of the interaction between the financial and real economy. This approach implies that the impulse responses of a given aggregate shock will depend on the portfolio structure of firms at any given point in time.

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File URL: http://www.riksbank.se/upload/Dokument_riksbank/Kat_publicerat/WorkingPapers/wp_184.pdf
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Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number 184.

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Length: 51 pages
Date of creation: 01 Apr 2005
Date of revision:
Handle: RePEc:hhs:rbnkwp:0184
Contact details of provider: Postal: Sveriges Riksbank, SE-103 37 Stockholm, Sweden
Phone: 08 - 787 00 00
Fax: 08-21 05 31
Web page: http://www.riksbank.com/Email:


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