Ellington, MT ORCID: 0000-0003-0264-7572
(2018)
Financial Market Illiquidity Shocks and Macroeconomic Dynamics: Evidence from the UK.
Journal of Banking and Finance, 89.
pp. 225-236.
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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.
Item Type: | Article |
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Additional Information: | Source info: Journal of Banking and Finance, Forthcoming |
Uncontrolled Keywords: | Stock market illiquidity, Time-varying parameter VAR, Macro-financial linkages, Sign restrictions |
Depositing User: | Symplectic Admin |
Date Deposited: | 27 Feb 2018 14:58 |
Last Modified: | 04 Mar 2024 08:54 |
DOI: | 10.1016/j.jbankfin.2018.02.013 |
Open Access URL: | https://doi.org/10.1016/j.jbankfin.2018.02.013 |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3018449 |
Available Versions of this Item
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Financial Market Illiquidity Shocks and Macroeconomic Dynamics: Evidence from the UK. (deposited 27 Feb 2018 08:38)
- Financial Market Illiquidity Shocks and Macroeconomic Dynamics: Evidence from the UK. (deposited 27 Feb 2018 14:58) [Currently Displayed]