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Financial shocks and economic activity: A high frequency approach

Research output: Working paper

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Financial shocks and economic activity : A high frequency approach. / Miescu, Mirela; Mumtaz, Haroon.

Lancaster : Lancaster University, Department of Economics, 2020. (Economics Working Papers Series).

Research output: Working paper

Harvard

Miescu, M & Mumtaz, H 2020 'Financial shocks and economic activity: A high frequency approach' Economics Working Papers Series, Lancaster University, Department of Economics, Lancaster.

APA

Miescu, M., & Mumtaz, H. (2020). Financial shocks and economic activity: A high frequency approach. (Economics Working Papers Series). Lancaster University, Department of Economics.

Vancouver

Miescu M, Mumtaz H. Financial shocks and economic activity: A high frequency approach. Lancaster: Lancaster University, Department of Economics. 2020 Jul 1. (Economics Working Papers Series).

Author

Miescu, Mirela ; Mumtaz, Haroon. / Financial shocks and economic activity : A high frequency approach. Lancaster : Lancaster University, Department of Economics, 2020. (Economics Working Papers Series).

Bibtex

@techreport{ce2a169917d24d929b91aa65cbb310a2,
title = "Financial shocks and economic activity: A high frequency approach",
abstract = "We investigate the effects of US financial shocks on economic activity in astructural mixed frequency VAR model that incorporates daily and lower frequencydata. The VAR is identified with a heteroscedasticity-based event study approach. The identifying assumption is that financial shocks are more volatile than other disturbances during high profile financial events. We find that a favorable financial shock that increases asset prices leads to a rise in real activity, house prices and short term rates while it decreases unemployment, uncertainty, credit and term spreads. The financial shock has substantial effects across the borders as well, triggering a strong and synchronized increase in asset prices and industrial production in the rest of the G7 countries.",
keywords = "financial shocks, event study, heteroscedasticity identification, structural VAR",
author = "Mirela Miescu and Haroon Mumtaz",
year = "2020",
month = jul,
day = "1",
language = "English",
series = "Economics Working Papers Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Financial shocks and economic activity

T2 - A high frequency approach

AU - Miescu, Mirela

AU - Mumtaz, Haroon

PY - 2020/7/1

Y1 - 2020/7/1

N2 - We investigate the effects of US financial shocks on economic activity in astructural mixed frequency VAR model that incorporates daily and lower frequencydata. The VAR is identified with a heteroscedasticity-based event study approach. The identifying assumption is that financial shocks are more volatile than other disturbances during high profile financial events. We find that a favorable financial shock that increases asset prices leads to a rise in real activity, house prices and short term rates while it decreases unemployment, uncertainty, credit and term spreads. The financial shock has substantial effects across the borders as well, triggering a strong and synchronized increase in asset prices and industrial production in the rest of the G7 countries.

AB - We investigate the effects of US financial shocks on economic activity in astructural mixed frequency VAR model that incorporates daily and lower frequencydata. The VAR is identified with a heteroscedasticity-based event study approach. The identifying assumption is that financial shocks are more volatile than other disturbances during high profile financial events. We find that a favorable financial shock that increases asset prices leads to a rise in real activity, house prices and short term rates while it decreases unemployment, uncertainty, credit and term spreads. The financial shock has substantial effects across the borders as well, triggering a strong and synchronized increase in asset prices and industrial production in the rest of the G7 countries.

KW - financial shocks

KW - event study

KW - heteroscedasticity identification

KW - structural VAR

M3 - Working paper

T3 - Economics Working Papers Series

BT - Financial shocks and economic activity

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -