Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK
使用贝叶斯时变参数VAR模型分析英国数据，发现金融市场非流动性冲击对宏观经济的影响在2008年衰退期间显著增强。
We examine the link between financial market illiquidity and macroeconomic dynamics by fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from 1988Q1 to 2016Q4. We capture liquidity conditions in the stock market using a battery of illiquidity proxies. This paper departs from previous studies examining macro-financial linkages by using theoretically grounded sign restrictions, and conducting structural inference in a non-linear framework. We document both statistically significant differences in the transmission of these shocks, and substantial increases in the economic importance of these shocks during the 2008 recession.