Liquidity shocks and real GDP growth: Evidence from a Bayesian time-varying parameter VAR

被引：13

作者：

Ellington, Michael ^{[1
]}

Florackis, Chris ^{[1
]}

Milas, Costas ^{[1
]}

机构：

[1] Univ Liverpool, Sch Management, Liverpool, Merseyside, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2017年 / 72卷

基金：

英国经济与社会研究理事会;

关键词：

Stock market liquidity; House market liquidity; Liquidity shocks; Time-varying parameter VAR; ECONOMIC-GROWTH; HOUSING-MARKET; STOCK MARKETS; CREDIT; VOLATILITY; BUSINESS; PRICES; TRANSMISSION; ILLIQUIDITY; CONSUMPTION;

D O I：

10.1016/j.jimonfin.2016.12.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the dynamic impact of liquidity shocks resonating in stock and housing mar lets on real GDP growth. We fit a Bayesian time-varying parameter VAR model with stochastic volatility to US data from 1970 to 2014. GDP becomes highly sensitive to house market liquidity shocks as disruptions in the sector start to emerge, yet more resilient to stock market liquidity shocks throughout time. We provide substantial evidence in favour of asymmetric responses of GDP growth both across the business cycle, and among business cycle troughs. Stock and house market liquidity shocks explain, on average, 17% and 35% of the variation in GDP during the Great Recession, respectively. (C) 2016 Elsevier Ltd. All rights reserved.

引用

页码：93 / 117

页数：25

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