UNDERSTANDING THE MACROECONOMIC IMPACT OF ILLIQUIDITY SHOCKS IN THE UNITED STATES

Autor:	Yu Hsi Chou, Chia Yi Yen
Rok vydání:	2020
Předmět:	Economics and Econometrics 0502 economics and business 05 social sciences Economics Stock market Monetary economics 050207 economics Decomposition analysis General Business Management and Accounting Stock price 050205 econometrics Great recession
Zdroj:	Economic Inquiry. 58:1245-1278
ISSN:	1465-7295 0095-2583
Popis:	In this paper, we empirically investigate the role of stock market illiquidity shocks, stemming from Amihud's illiquidity measure, in explaining U.S. macroeconomic fluctuations from 1973 to 2018. We find that the impact of illiquidity shocks on economic activity is substantial, and historical decomposition analysis shows that cumulative illiquidity shocks were an essential contributor to the prolonged economic slump of the Great Recession. Moreover, our identified illiquidity shocks represent a distinct source of macroeconomic instability. This suggests that illiquidity shocks, measured by the stock price impacts, may contain more information than other types of shocks in recent studies, such as financial shocks and uncertainty shocks. (JEL C32, E32)
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::690f54a211e05e1d4d84bfdb8a636ab8 https://doi.org/10.1111/ecin.12890 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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