Financial Shocks, Uncertainty Shocks, and Corporate Liquidity
用结构向量自回归模型区分金融冲击、宏观不确定性冲击和金融不确定性冲击，发现企业流动性对冲击的反应不同：金融冲击导致企业减少流动性，不确定性冲击则增加流动性。
ABSTRACT I estimate a structural VAR identified using sign restrictions to separately identify financial, macro uncertainty, and financial uncertainty shocks. The novelty of the estimation procedure relies on the qualitatively different response of corporate liquidity: Financial shocks lead firms to draw down their liquidity as they lose access to external finance, while uncertainty‐type shocks drive‐up liquid assets as a precautionary measure. While all three shocks have contractionary effects on the US economy, only macro uncertainty shocks trigger deflationary patterns. Existing theoretical frameworks can rationalize this finding.