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• W2793487316 abstract "We examine the link between financial market illiquidity and macroeconomic dynamics by fitting a Bayesian time-varying parameter VAR with stochastic volatility to UK data from 1988Q1 to 2016Q4. We capture liquidity conditions in the stock market using a battery of illiquidity proxies. This paper departs from previous studies examining macro-financial linkages by using theoretically grounded sign restrictions, and conducting structural inference in a non-linear framework. We document both statistically significant differences in the transmission of these shocks, and substantial increases in the economic importance of these shocks during the 2008 recession." @default.
• W2793487316 created "2018-03-29" @default.
• W2793487316 creator A5040434501 @default.
• W2793487316 date "2018-04-01" @default.
• W2793487316 modified "2023-10-18" @default.
• W2793487316 title "Financial market illiquidity shocks and macroeconomic dynamics: Evidence from the UK" @default.
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• W2793487316 doi "https://doi.org/10.1016/j.jbankfin.2018.02.013" @default.
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