Identification of Financial Factors in Economic Fluctuations
利用美国数据，通过符号约束的VAR模型识别需求、供给、货币、投资和金融冲击，发现金融冲击是产出、股价和投资波动的主要驱动因素，但对通胀影响有限；进一步分解显示，住房冲击对产出有持久且显著的影响。
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.