Deflationary Financial Shocks and Inflationary Uncertainty Shocks: An SVAR Investigation
研究发现金融冲击会同时降低产出和商品价格，而不确定性冲击则降低产出但推高商品价格，企业通过提高加价率来应对不确定性，这解释了衰退初期物价上涨及通缩压力减弱的现象。
ABSTRACT What are the economic implications of financial and uncertainty shocks? Financial shocks reduce both output and goods prices, while uncertainty shocks reduce output but raise goods prices. In response to uncertainty shocks, firms increase markups, in line with the theory of self‐insurance against being stuck with too low a price. This explains why goods prices may increase at the onset of a recession and why recessions feature less pronounced deflationary pressures. Both shocks are jointly identified exclusively using restrictions on their contribution to the forecast error of a selected variable at the dates of well‐understood economic events. The restricted shock must be the largest contributor to the forecast error, but only among shocks that move the forecast error in the same direction.