IDEAS home Printed from https://ideas.repec.org/p/snb/snbwpa/2020-13.html
   My bibliography  Save this paper

Financial shocks and inflation dynamics

Author

Listed:
  • Dr. Angela Abbate
  • Sandra Eickmeier
  • Esteban Prieto

Abstract

We assess the effects of financial shocks on inflation, and to what extent financial shocks can account for the "missing disinflation" during the Great Recession. We apply a Bayesian vector autoregressive model to US data and identify financial shocks through a combination of narrative and short-run sign restrictions. Our main finding is that contractionary financial shocks temporarily increase inflation. This result withstands a large battery of robustness checks. Negative financial shocks help therefore to explain why inflation did not drop more sharply in the aftermath of the financial crisis. Our analysis suggests that higher borrowing costs after negative financial shocks can account for the modest decrease in inflation after the financial crisis. A policy implication is that financial shocks act as supply-type shocks, moving output and inflation in opposite directions, thereby worsening the trade-off for a central bank with a dual mandate.

Suggested Citation

  • Dr. Angela Abbate & Sandra Eickmeier & Esteban Prieto, 2020. "Financial shocks and inflation dynamics," Working Papers 2020-13, Swiss National Bank.
  • Handle: RePEc:snb:snbwpa:2020-13
    as

    Download full text from publisher

    File URL: https://www.snb.ch/en/publications/research/working-papers/2020/working_paper_2020_13
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Donald L. Kohn, 2010. "The Federal Reserve's policy actions during the financial crisis and lessons for the future: a speech at Carleton University, Ottawa, Canada, May 13, 2010," Speech 522, Board of Governors of the Federal Reserve System (U.S.).
    2. Christina D. Romer & David H. Romer, 2004. "A New Measure of Monetary Shocks: Derivation and Implications," American Economic Review, American Economic Association, vol. 94(4), pages 1055-1084, September.
    3. Simon Gilchrist & Raphael Schoenle & Jae Sim & Egon Zakrajšek, 2017. "Inflation Dynamics during the Financial Crisis," American Economic Review, American Economic Association, vol. 107(3), pages 785-823, March.
    4. Fabio Canova & Luca Gambetti & Evi Pappa, 2007. "The Structural Dynamics of Output Growth and Inflation: Some International Evidence," Economic Journal, Royal Economic Society, vol. 117(519), pages 167-191, March.
    5. Hristov, Nikolay & Hülsewig, Oliver, 2017. "Unexpected loan losses and bank capital in an estimated DSGE model of the euro area," Journal of Macroeconomics, Elsevier, vol. 54(PB), pages 161-186.
    6. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
    7. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2019. "Identification of Financial Factors in Economic Fluctuations," The Economic Journal, Royal Economic Society, vol. 129(617), pages 311-337.
    8. Alquist, Ron & Kilian, Lutz & Vigfusson, Robert J., 2013. "Forecasting the Price of Oil," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 427-507, Elsevier.
    9. Aubhik Khan & Julia K. Thomas, 2013. "Credit Shocks and Aggregate Fluctuations in an Economy with Production Heterogeneity," Journal of Political Economy, University of Chicago Press, vol. 121(6), pages 1055-1107.
    10. Jonas E. Arias & Juan Rubio-Ramirez & Daniel F. Waggoner, 2013. "Inference Based on SVARs Identied with Sign and Zero Restrictions: Theory and Applications," Working Papers 2013-24, FEDEA.
    11. Renée Fry & Adrian Pagan, 2011. "Sign Restrictions in Structural Vector Autoregressions: A Critical Review," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 938-960, December.
    12. Gert Peersman, 2011. "Macroeconomic consequences of different types of credit market disturbances and non-conventional monetary policy in the euro area," 2011 Meeting Papers 333, Society for Economic Dynamics.
    13. Eickmeier, Sandra & Metiu, Norbert & Prieto, Esteban, 2016. "Time-varying Volatility, Financial Intermediation and Monetary Policy," IWH Discussion Papers 19/2016, Halle Institute for Economic Research (IWH).
    14. Hristov, Nikolay & Hülsewig, Oliver & Wollmershäuser, Timo, 2012. "Loan supply shocks during the financial crisis: Evidence for the Euro area," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 569-592.
    15. Juan F. Rubio-Ramírez & Daniel F. Waggoner & Tao Zha, 2010. "Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 77(2), pages 665-696.
    16. Barsky, Robert B. & Sims, Eric R., 2011. "News shocks and business cycles," Journal of Monetary Economics, Elsevier, vol. 58(3), pages 273-289.
    17. Gert Peersman, 2005. "What caused the early millennium slowdown? Evidence based on vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 185-207.
    18. Olivier Coibion & Yuriy Gorodnichenko, 2015. "Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 197-232, January.
    19. Caldara, Dario & Fuentes-Albero, Cristina & Gilchrist, Simon & Zakrajšek, Egon, 2016. "The macroeconomic impact of financial and uncertainty shocks," European Economic Review, Elsevier, vol. 88(C), pages 185-207.
    20. Petrosky-Nadeau, Nicolas, 2013. "TFP during a credit crunch," Journal of Economic Theory, Elsevier, vol. 148(3), pages 1150-1178.
    21. Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-196, January.
    22. Helbling, Thomas & Huidrom, Raju & Kose, M. Ayhan & Otrok, Christopher, 2011. "Do credit shocks matter? A global perspective," European Economic Review, Elsevier, vol. 55(3), pages 340-353, April.
    23. Fabio Fornari & Livio Stracca, 2012. "What does a financial shock do? First international evidence [Financial intermediaries, financial stability and monetary policy]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 27(71), pages 407-445.
    24. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
    25. Laurence Ball & Sandeep Mazumder, 2011. "Inflation Dynamics and the Great Recession," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 42(1 (Spring), pages 337-405.
    26. Alan B. Krueger & Judd Cramer & David Cho, 2014. "Are the Long-Term Unemployed on the Margins of the Labor Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 45(1 (Spring), pages 229-299.
    27. Jing Cynthia Wu & Fan Dora Xia, 2016. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 253-291, March.
    28. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    29. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    30. Tobias Adrian & Emanuel Moench & Hyun Song Shin, 2013. "Dynamic Leverage Asset Pricing," Staff Reports 625, Federal Reserve Bank of New York.
    31. Juan Antolín-Díaz & Juan F. Rubio-Ramírez, 2018. "Narrative Sign Restrictions for SVARs," American Economic Review, American Economic Association, vol. 108(10), pages 2802-2829, October.
    32. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2015. "Fiscal Volatility Shocks and Economic Activity," American Economic Review, American Economic Association, vol. 105(11), pages 3352-3384, November.
    33. Walentin, Karl, 2014. "Business cycle implications of mortgage spreads," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 62-77.
    34. Alan B. Krueger & Judd Cramer & David Cho, 2014. "Are the Long-Term Unemployed on the Margins of the Labor Market?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 229-299.
    35. Haroon Mumtaz & Gabor Pinter & Konstantinos Theodoridis, 2018. "What Do Vars Tell Us About The Impact Of A Credit Supply Shock?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(2), pages 625-646, May.
    36. Nikolay Hristov & Dominik Menno & Almut Balleer, 2015. "Financial Market Imperfections and the Pricing Decision of Firms: Theory and Evidence," 2015 Meeting Papers 1173, Society for Economic Dynamics.
    37. Matteo Iacoviello, 2015. "Financial Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 18(1), pages 140-164, January.
    38. Busch, Ulrike & Scharnagl, Michael & Scheithauer, Jan, 2010. "Loan supply in Germany during the financial crisis," Discussion Paper Series 1: Economic Studies 2010,05, Deutsche Bundesbank.
    39. Lawrence J. Christiano & Martin S. Eichenbaum & Mathias Trabandt, 2015. "Understanding the Great Recession," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 110-167, January.
    40. Efrem Castelnuovo, 2012. "Testing the Structural Interpretation of the Price Puzzle with a Cost-Channel Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(3), pages 425-452, June.
    41. Carlstrom, Charles T. & Fuerst, Timothy S. & Ortiz, Alberto & Paustian, Matthias, 2014. "Estimating contract indexation in a Financial Accelerator Model," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 130-149.
    42. Darracq-Paries, Matthieu & De Santis, Roberto A., 2015. "A non-standard monetary policy shock: The ECB's 3-year LTROs and the shift in credit supply," Journal of International Money and Finance, Elsevier, vol. 54(C), pages 1-34.
    43. Emi Nakamura & Jón Steinsson, 2018. "High-Frequency Identification of Monetary Non-Neutrality: The Information Effect," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(3), pages 1283-1330.
    44. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393, Elsevier.
    45. Renée Fry-Mckibbin & Jasmine Zheng, 2016. "Effects of the US monetary policy shocks during financial crises – a threshold vector autoregression approach," Applied Economics, Taylor & Francis Journals, vol. 48(59), pages 5802-5823, December.
    46. Bjørnland, Hilde C. & Leitemo, Kai, 2009. "Identifying the interdependence between US monetary policy and the stock market," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
    47. Gianni De Nicolò & Marcella Lucchetta, 2011. "Systemic Risks and the Macroeconomy," NBER Chapters, in: Quantifying Systemic Risk, pages 113-148, National Bureau of Economic Research, Inc.
    48. Antonio M. Conti & Stefano Neri & Andrea Nobili, 2015. "Why is inflation so low in the euro area?," Temi di discussione (Economic working papers) 1019, Bank of Italy, Economic Research and International Relations Area.
    49. Rochelle M. Edge & Ralf R. Meisenzahl, 2011. "The unreliability of credit-to-GDP ratio gaps in real-time: Implications for countercyclical capital buffers," Finance and Economics Discussion Series 2011-37, Board of Governors of the Federal Reserve System (U.S.).
    50. Paolo Gelain & Kevin J Lansing & Gisle James Natvik, 2018. "Leaning Against the Credit Cycle," Journal of the European Economic Association, European Economic Association, vol. 16(5), pages 1350-1393.
    51. Lewis, Vivien & Poilly, Céline, 2012. "Firm entry, markups and the monetary transmission mechanism," Journal of Monetary Economics, Elsevier, vol. 59(7), pages 670-685.
    52. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
    53. Elena Bobeica & Marek Jarociński, 2019. "Missing Disinflation and Missing Inflation: A VAR Perspective," International Journal of Central Banking, International Journal of Central Banking, vol. 15(1), pages 199-232, March.
    54. Esteban Prieto & Sandra Eickmeier & Massimiliano Marcellino, 2016. "Time Variation in Macro‐Financial Linkages," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1215-1233, November.
    55. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and Banking in a DSGE Model of the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 107-141, September.
    56. Luca Gambetti & Alberto Musso, 2017. "Loan Supply Shocks and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 764-782, June.
    57. Ben S. Bernanke, 2009. "The crisis and the policy response: a speech at the Stamp Lecture, London School of Economics, London, England, January 13, 2009," Speech 442, Board of Governors of the Federal Reserve System (U.S.).
    58. Christiano, Lawrence J. & Trabandt, Mathias & Walentin, Karl, 2010. "DSGE Models for Monetary Policy Analysis," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 7, pages 285-367, Elsevier.
    59. Vasco Cúrdia & Michael Woodford, 2010. "Credit Spreads and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 3-35, September.
    60. Robert J. Gordon, 2013. "The Phillips Curve is Alive and Well: Inflation and the NAIRU During the Slow Recovery," NBER Working Papers 19390, National Bureau of Economic Research, Inc.
    61. Fiorella De Fiore & Oreste Tristani, 2013. "Optimal Monetary Policy in a Model of the Credit Channel," Economic Journal, Royal Economic Society, vol. 123(571), pages 906-931, September.
    62. Sydney Ludvigson, 2016. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response," 2016 Meeting Papers 183, Society for Economic Dynamics.
    63. Rochelle M. Edge & Ralf R. Meisenzahl, 2011. "The Unreliability of Credit-to-GDP Ratio Gaps in Real Time: Implications for Countercyclical Capital Buffers," International Journal of Central Banking, International Journal of Central Banking, vol. 7(4), pages 261-298, December.
    64. Ang, Andrew & Piazzesi, Monika, 2003. "A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables," Journal of Monetary Economics, Elsevier, vol. 50(4), pages 745-787, May.
    65. repec:fip:fedgsq:y:2010:x:27 is not listed on IDEAS
    66. Arias, Jonas E. & Caldara, Dario & Rubio-Ramírez, Juan F., 2019. "The systematic component of monetary policy in SVARs: An agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 101(C), pages 1-13.
    67. repec:fip:fedgsq:y:2009 is not listed on IDEAS
    68. Paustian Matthias, 2007. "Assessing Sign Restrictions," The B.E. Journal of Macroeconomics, De Gruyter, vol. 7(1), pages 1-33, August.
    69. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
    70. Simon Gilchrist & Egon Zakrajsek, 2012. "Credit Spreads and Business Cycle Fluctuations," American Economic Review, American Economic Association, vol. 102(4), pages 1692-1720, June.
    71. Roberto Motto & Massimo Rostagno & Lawrence J. Christiano, 2010. "Financial Factors in Economic Fluctuations," 2010 Meeting Papers 141, Society for Economic Dynamics.
    72. Christopher J. Nekarda & Valerie A. Ramey, 2020. "The Cyclical Behavior of the Price‐Cost Markup," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(S2), pages 319-353, December.
    73. Leduc, Sylvain & Liu, Zheng, 2016. "Uncertainty shocks are aggregate demand shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 20-35.
    74. Haroon Mumtaz & Konstantinos Theodoridis, 2014. "The Changing Transmission of Uncertainty shocks in the US: An Empirical Analysis," Working Papers 735, Queen Mary University of London, School of Economics and Finance.
    75. John G. Fernald, 2012. "A quarterly, utilization-adjusted series on total factor productivity," Working Paper Series 2012-19, Federal Reserve Bank of San Francisco.
    76. Meh, Césaire A. & Moran, Kevin, 2010. "The role of bank capital in the propagation of shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 555-576, March.
    77. Antoun de Almeida, Luiza, 2015. "Firms’ balance sheets and sectoral inflation in the euro area during the financial crisis," Economics Letters, Elsevier, vol. 135(C), pages 31-33.
    78. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
    79. Ben S. Bernanke, 2018. "The Real Effects of Disrupted Credit: Evidence from the Global Financial Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 251-342.
    80. G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.
    81. Efrem Castelnuovo & Paolo Surico, 2010. "Monetary Policy, Inflation Expectations and The Price Puzzle," Economic Journal, Royal Economic Society, vol. 120(549), pages 1262-1283, December.
    82. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
    83. Ravenna, Federico & Walsh, Carl E., 2006. "Optimal monetary policy with the cost channel," Journal of Monetary Economics, Elsevier, vol. 53(2), pages 199-216, March.
    84. Meeks, Roland, 2012. "Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults," Journal of Economic Dynamics and Control, Elsevier, vol. 36(4), pages 568-584.
    85. Renee Fry & Adrian Pagan, 2007. "Some Issues in Using Sign Restrictions for Identifying Structural VARs," NCER Working Paper Series 14, National Centre for Econometric Research.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Meinen, Philipp & Roehe, Oke, 2018. "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Economics Letters, Elsevier, vol. 171(C), pages 189-192.
    2. Gregor Boehl & Gavin Goy & Felix Strobel, 2024. "A Structural Investigation of Quantitative Easing," The Review of Economics and Statistics, MIT Press, vol. 106(4), pages 1028-1044, July.
    3. Melina, Giovanni & Villa, Stefania, 2023. "Drivers of large recessions and monetary policy responses," Journal of International Money and Finance, Elsevier, vol. 137(C).
    4. Olli Palm'en, 2020. "Inflation Dynamics of Financial Shocks," Papers 2006.03301, arXiv.org.
    5. Tristani, Oreste & De Fiore, Fiorella, 2019. "(Un)conventional policy and the effective lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    6. Eickmeier, Sandra & Kolb, Benedikt & Prieto, Esteban, 2023. "The macroeconomic effects of bank capital regulation," CEPR Discussion Papers 18404, C.E.P.R. Discussion Papers.
    7. Conti, Antonio M., 2021. "Resurrecting the Phillips Curve in Low-Inflation Times," Economic Modelling, Elsevier, vol. 96(C), pages 172-195.
    8. Antonio M. Conti & Concetta Gigante, 2018. "Weakness in Italy�s core inflation and the Phillips curve: the role of labour and financial indicators," Questioni di Economia e Finanza (Occasional Papers) 466, Bank of Italy, Economic Research and International Relations Area.
    9. Baumeister, Christiane & Hamilton, James D., 2021. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 114(C).
    10. Martin Mandler & Michael Scharnagl, 2020. "Bank loan supply shocks and alternative financing of non‐financial corporations in the euro area," Manchester School, University of Manchester, vol. 88(S1), pages 126-150, September.
    11. Böhl, Gregor & Lieberknecht, Philipp, 2021. "The hockey stick Phillips curve and the zero lower bound," IMFS Working Paper Series 153, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    12. Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
    13. Caggiano, Giovanni & Castelnuovo, Efrem & Delrio, Silvia & Kima, Richard, 2021. "Financial uncertainty and real activity: The good, the bad, and the ugly," European Economic Review, Elsevier, vol. 136(C).
    14. Böhl, Gregor & Lieberknecht, Philipp, 2021. "The hockey stick Phillips curve and the effective lower bound," Discussion Papers 55/2021, Deutsche Bundesbank.
    15. Hacioglu Hoke, Sinem, 2019. "Macroeconomic effects of political risk shocks," Bank of England working papers 841, Bank of England.
    16. Ellington, Michael, 2018. "Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 225-236.
    17. Sandra Eickmeier & Benedikt Kolb & Esteban Prieto, 2018. "The macroeconomic effects of bank capital requirement tightenings: Evidence from a narrative approach," CAMA Working Papers 2018-42, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    18. Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.
    19. Palmén, Olli, 2020. "Sovereign default risk and credit supply: Evidence from the euro area," Journal of International Money and Finance, Elsevier, vol. 109(C).
    20. Francesco Corsello & Valerio Nispi Landi, 2020. "Labor Market and Financial Shocks: A Time‐Varying Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 777-801, June.
    21. Baumeister, Christiane & Hamilton, James D., 2020. "Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 109(C).
    22. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
    23. Neri, Stefano & Nobili, Andrea & Conti, Antonio M., 2017. "Low inflation and monetary policy in the euro area," Working Paper Series 2005, European Central Bank.
    24. Andrejs Zlobins, 2021. "On the Time-varying Effects of the ECB's Asset Purchases," Working Papers 2021/02, Latvijas Banka.
    25. Antonio M. Conti & Andrea Nobili, 2019. "Wages and prices in the euro area: exploring the nexus," Questioni di Economia e Finanza (Occasional Papers) 518, Bank of Italy, Economic Research and International Relations Area.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Francesco Furlanetto & Francesco Ravazzolo & Samad Sarferaz, 2019. "Identification of Financial Factors in Economic Fluctuations," The Economic Journal, Royal Economic Society, vol. 129(617), pages 311-337.
    2. Eickmeier, Sandra & Ng, Tim, 2015. "How do US credit supply shocks propagate internationally? A GVAR approach," European Economic Review, Elsevier, vol. 74(C), pages 128-145.
    3. Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.
    4. Gabriel Rodríguez & Carlos Guevara, 2018. "The Role of Loan Supply Shocks in Pacific Alliance Countries: A TVP-VAR-SV Approach," Documentos de Trabajo / Working Papers 2018-467, Departamento de Economía - Pontificia Universidad Católica del Perú.
    5. Olli Palm'en, 2020. "Inflation Dynamics of Financial Shocks," Papers 2006.03301, arXiv.org.
    6. Lieberknecht, Philipp, 2018. "Financial Frictions, the Phillips Curve and Monetary Policy," MPRA Paper 89429, University Library of Munich, Germany.
    7. Andrej Sokol & Ambrogio Cesa-Bianchi, 2017. "The International Credit Channel of U.S. Monetary Policy and Financial Shocks," 2017 Meeting Papers 724, Society for Economic Dynamics.
    8. Antonio M. Conti & Andrea Nobili, 2019. "Wages and prices in the euro area: exploring the nexus," Questioni di Economia e Finanza (Occasional Papers) 518, Bank of Italy, Economic Research and International Relations Area.
    9. Andrea Carriero & Alessio Volpicella, 2022. "Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty," School of Economics Discussion Papers 0322, School of Economics, University of Surrey.
    10. Meinen, Philipp & Roehe, Oke, 2018. "To sign or not to sign? On the response of prices to financial and uncertainty shocks," Economics Letters, Elsevier, vol. 171(C), pages 189-192.
    11. Jelena Zivanovic, 2019. "What Does Structural Analysis of the External Finance Premium Say About Financial Frictions?," Staff Working Papers 19-38, Bank of Canada.
    12. Bańbura, Marta & Albani, Maria & Ambrocio, Gene & Bursian, Dirk & Buss, Ginters & de Winter, Jasper & Gavura, Miroslav & Giordano, Claire & Júlio, Paulo & Le Roux, Julien & Lozej, Matija & Malthe-Thag, 2018. "Business investment in EU countries," Occasional Paper Series 215, European Central Bank.
    13. Andrea Silvestrini & Andrea Zaghini, 2015. "Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature," Questioni di Economia e Finanza (Occasional Papers) 255, Bank of Italy, Economic Research and International Relations Area.
    14. Guevara, Carlos & Rodríguez, Gabriel, 2020. "The role of credit supply shocks in pacific alliance countries: A TVP-VAR-SV approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    15. Cesa-Bianchi, Ambrogio & Sokol, Andrej, 2022. "Financial shocks, credit spreads, and the international credit channel," Journal of International Economics, Elsevier, vol. 135(C).
    16. Sangyup Choi, 2018. "Bank Lending Standards, Loan Demand, and the Macroeconomy: Evidence from the Emerging Market Bank Loan Officer Survey," Working papers 2018rwp-126, Yonsei University, Yonsei Economics Research Institute.
    17. Barauskaitė, Kristina & Nguyen, Anh D.M. & Rousová, Linda & Cappiello, Lorenzo, 2022. "The impact of credit supply shocks in the euro area: market-based financing versus loans," Working Paper Series 2673, European Central Bank.
    18. Breitenlechner, Max & Mathy, Gabriel P. & Scharler, Johann, 2021. "Decomposing the U.S. Great Depression: How important were loan supply shocks?," Explorations in Economic History, Elsevier, vol. 79(C).
    19. Baumeister, Christiane & Hamilton, James D., 2021. "Reprint: Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 114(C).
    20. Baumeister, Christiane & Hamilton, James D., 2020. "Drawing conclusions from structural vector autoregressions identified on the basis of sign restrictions," Journal of International Money and Finance, Elsevier, vol. 109(C).

    More about this item

    Keywords

    Financial shocks; inflation dynamics; monetary policy; financial frictions; cost channel; sign restrictions;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:snb:snbwpa:2020-13. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Enzo Rossi (email available below). General contact details of provider: https://edirc.repec.org/data/snbgvch.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.