This website uses cookies.

By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device to enhance site navigation and analyze site performance and traffic. For more information on our use of cookies, please see our Privacy Policy.

  1. Home
  2. Journals
  3. American Economic Journal: Macroeconomics
  4. October 2022
  5. News Shocks under Financial Frictions

News Shocks under Financial Frictions

  • Christoph Görtz
  • John D. Tsoukalas
  • Francesco Zanetti
American Economic Journal: Macroeconomics
vol. 14, no. 4, October 2022
(pp. 210-43)
Download Full Text PDF

Abstract

We examine the dynamic effects of TFP news shocks in the context of frictions in financial markets. We document two new facts. First, a shock to future TFP generates a significant decline in credit spread indicators along with a robust improvement in credit supply indicators. Second, we establish a tight link between TFP news shocks and shocks that explain the majority of unforecastable movements in credit spread indicators. A DSGE model enriched with a financial sector of the Gertler-Kiyotaki-Karadi type generates very similar quantitative dynamics.

Citation

Görtz, Christoph, John D. Tsoukalas, and Francesco Zanetti. 2022. "News Shocks under Financial Frictions." American Economic Journal: Macroeconomics, 14 (4): 210-43. DOI: 10.1257/mac.20170066

Additional Materials

JEL Classification

  • E12 General Aggregative Models: Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
  • E31 Price Level; Inflation; Deflation
  • E32 Business Fluctuations; Cycles
  • E44 Financial Markets and the Macroeconomy
  • G12 Asset Pricing; Trading Volume; Bond Interest Rates
  • G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
There are no comments for this article.
Login to Comment