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Deflationary financial shocks and inflationary uncertainty shocks: an SVAR Investigation. (2022). van der Veken, Wouter ; de Santis, Roberto A.
In: Working Paper Series.
RePEc:ecb:ecbwps:20222727.

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  1. The macroeconomic effects of uncertainty and risk aversion shocks. (2023). Berthold, Brendan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000715.

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References

References cited by this document

  1. Baker, Scott, Nicholas Bloom, and Steven Davis (2016) “Measuring Economic Policy Uncertainty, ” The Quarterly Journal of Economics, Vol. 131, pp. 1593–1636.

  2. Bekaert, Geert and Marie Hoerova (2014) “The VIX, the variance premium and stock market volatility,” Journal of Econometrics, Vol. 183, pp. 181–192.

  3. Bernanke, Ben S. and Ilian Mihov (1998) “Measuring Monetary Policy,” The Quarterly Journal of Economics, Vol. 113, pp. 869–902.

  4. Bloom, Nicholas (2009) “The Impact of Uncertainty Shocks,” Econometrica, Vol. 77, pp.

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  6. Chavleishvili, Sulkhan and Manfred Kremer (2021) “CISS - A Composite Indicator of Systemic Stress in the Financial System,” mimeo, European Central Bank.
    Paper not yet in RePEc: Add citation now

  7. Edward, Franklin R. (1999) “Hedge Funds and the Collapse of Long-Term Capital Management, ” Journal of Economic Perspectives, Vol. 13, pp. 189–210.

  8. Gilchrist, Simon and Egon Zakrajšek (2012) “Credit Spreads and Business Cycle Fluctuations, ” American Economic Review, Vol. 102, pp. 1692–1720.

  9. Gilchrist, Simon, Vladimir Yankov, and Egon Zakrajšek (2009) “Credit market shocks and economic fluctuations: Evidence from corporate bond and stock markets,” Journal of Monetary Economics, Vol. 56, pp. 471–493.

  10. Jurado, Kyle, Sydney Ludvigson, and Serena Ng (2015) “Measuring Uncertainty,” American Economic Review, Vol. 105, pp. 1177–1216.
    Paper not yet in RePEc: Add citation now

  11. Leduc, Sylvain and Zheng Liu (2016) “Uncertainty shocks are aggregate demand shocks,” Journal of Monetary Economics, Vol. 82, pp. 20–35.

  12. Ludvigson, Sydney C., Sai Ma, and Serena Ng (2021) “Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?” American Economic Journal: Macroeconomics, Vol. 13, pp. 369–410.

  13. Swanson, Eric T. (2020) “Measuring the effects of federal reserve forward guidance and asset purchases on financial markets,” Journal of Monetary Economics.
    Paper not yet in RePEc: Add citation now
  14. The views expressed in this paper are those of the authors and do not necessarily reflect those of the European Central Bank or the Eurosystem. The authors declare that they have no relevant or material financial interests that relate to the research described in this paper. Roberto A. De Santis (corresponding author) European Central Bank, Frankfurt am Main, Germany; email: roberto.de_santis@ecb.europa.eu Wouter Van der Veken Ghent University, Ghent, Belgium; email: wouvdrve.VanderVeken@UGent.be European Central Bank, 2022 Postal address 60640 Frankfurt am Main, Germany Telephone +49 69 1344 0 Website www.ecb.europa.eu All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors.
    Paper not yet in RePEc: Add citation now

  15. Uhlig, Harald (2005) “What are the effects of monetary policy on output? Results from an agnostic identification procedure,” Journal of Monetary Economics, Vol. 52, pp. 381–419.

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