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Statistics Seminar: Time-Dependent Finance-Uncertainty Multiplier

20/06/2017 dalle 14:15 alle 16:30

Dove Dipartimento di Scienze Statistiche - Via Belle Arti 41 - Bologna - Aula III

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Relatore

Giovanni Caggiano
Monash University


Abstract

This paper estimates time-dependent finance-uncertainty multipliers in the
post-WWII U.S. sample. We model a number of macroeconomic indicators with
a time varying coefficient-VAR along with measures of …financial uncertainty and
credit spreads. Uncertainty shocks are identi…fied by relying on the measure of
financial uncertainty recently constructed by Ludvigson et al. (2016). Gilchrist
and Zakrajšseks (2012) credit spread measure is decomposed in two orthogonal
components - the exogenous excess bond premium and the endogenous part of the
spread - to control for credit supply shocks while considering the ampli…fication
effect due to …financial frictions following an uncertainty shock. Our results point to
substantial variations in the fi…nance-uncertainty multipliers over the investigated
period.

(Joint with Efrem Castelnuovo, Silvia Delrio, and Tim Robinson).

 

Organizzatore: Alessandra Luati