Financial Conditions for the US: Aggregate Supply or Aggregate Demand Shocks?
- Autori: Paccagnini, Alessia; Parla, Fabio
- Anno di pubblicazione: 2023
- Tipologia: Monografia
- OA Link: http://hdl.handle.net/10447/619402
Abstract
It depends. We reply to this question by providing novel empirical evidence about the US economy. We identify the impact of financial high-frequency shocks on macroeconomic variables by estimating mixed- and common frequency VARs. The results from the mixed-frequency VAR show that economic output and inflation move in opposite directions in response to detrimental financial conditions, mimicking negative aggregate supply shocks. Oppositely, the results from the common-frequency VAR show that worsening financial conditions lead to a drop in output and inflation (and in the monetary policy rate), resembling negative aggregate demand shocks.