News shocks under financial frictions
We examine the dynamic effects and empirical role of TFP news shocks in the context of frictions in financial markets. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a signicant decline in various credit spread indicators considered in the macro-financ...
| Main Authors: | , , |
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| Format: | Working paper |
| Published: |
University of Oxford
2016
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