Görtz, Christoph and Tsoukalas, John (2011): News and financial intermediation in aggregate and sectoral fluctuations.
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We estimate a two-sector DSGEmodel with financial intermediaries—a-la Gertler and Karadi (2011) and Gertler and Kiyotaki (2010)—and quantify the importance of news shocks in accounting for aggregate and sectoral fluctuations. Our results indicate a significant role of financial market news as a predictive force behind fluctuations. Specifically, news about the value of assets held by financial intermediaries, reflected one to two years in advance in corporate bond markets, generate countercyclical corporate bond spreads, affect the supply of credit, and are estimated to be a significant source of aggregate fluctuations, accounting for approximately 31% of output, 22% of investment and 31% of hours worked variation in cyclical frequencies. Importantly, asset value news shocks generate both aggregate and sectoral co-movement with a standard preference specification. Financial intermediation is key for the importance and propagation of asset value news shocks.
|Item Type:||MPRA Paper|
|Original Title:||News and financial intermediation in aggregate and sectoral fluctuations|
|English Title:||News and Financial Intermediation in Aggregate and Sectoral Fluctuations|
|Keywords:||News; Financial intermediation; Business cycles; DSGE; Bayesian estimation|
|Subjects:||E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles
|Depositing User:||Christoph Görtz|
|Date Deposited:||03 Aug 2012 07:35|
|Last Modified:||23 Apr 2017 04:02|
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