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Liquidity Shocks and Real GDP Growth: Evidence from a Bayesian Time-Varying Parameter VAR
| Content Provider | Scilit |
|---|---|
| Author | Ellington, Michael Milas, Costas Florackis, Chris |
| Copyright Year | 2016 |
| Description | Journal: SSRN Electronic Journal We examine the dynamic impact of liquidity shocks resonating in stock and housing markets 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. |
| Related Links | http://www.rcea.org/RePEc/pdf/wp16-28.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2882489 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2882489 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2016-12-23 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Stock Market Liquidity House Market Liquidity Liquidity Shocks Time-varying Parameter Var |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
