Financial Volatility and its Economic Effects
Financial Volatility and its Economic Effects
复制标题
金融波动及其经济影响
DOI：
10.2139/ssrn.3135452
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Thiago R.T. Ferreira
中科院分区：
文献类型：
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作者：
Thiago R.T. Ferreira
我实证研究了金融公司业绩不确定性的经济影响。更具体地说，我关注每个季度金融公司股票市场回报的简单标准差，将此衡量标准称为金融波动性。首先，我表明，具有金融加速器渠道的模型所强调的特殊风险是该衡量标准的重要外生组成部分。然后，我使用动态随机一般均衡模型和结构向量自回归表明，金融波动的外生运动会对信贷、投资和 GDP 产生实质性和持久的影响；约占这些变量变化的 20%；并在最近两次信贷紧缩：20 世纪 90 年代初经济衰退和大衰退期间发挥了重要作用。此外，我还展示了信用利差和金融波动之间存在反馈效应的证据。
I empirically investigate the economic effects of uncertainty about the performance of financial firms. More specifically, I focus on the simple standard deviation of stock market returns across financial firms at every quarter, referring to this measure as financial volatility. First, I show that the idiosyncratic risk highlighted by models with a financial accelerator channel is an important exogenous component of this measure. Then, using a dynamic stochastic general equilibrium model and structural vector autoregressions, I show that exogenous movements in financial volatility cause substantial and persistent effects in credit, investment, and GDP; account for about 20% of the variation in these variables; and have played an important role during the last two credit crunches: the early 1990s recession and the Great Recession. Additionally, I show evidence of a feedback effect between credit spreads and financial volatility.
影响因子：
10.7
作者：
Justiniano, Alejandro;Primiceri, Giorgio E.
通讯作者：
Primiceri, Giorgio E.