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Financial intermediaries and the macroeconomy: evidence from a high-frequency identification

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Authors and Corporations: Ottonello, Pablo (Author), Song, Wenting (Author)
Other Authors: Song, Wenting [Author]
Edition: Last updated: May 20, 2022
Type of Resource: E-Book
Language: English
published:
[Ottawa] Bank of Canada [2022]
Series: Bank of Canada: Staff working paper ; 2022, 24
Subjects:
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Description
Summary: We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings announcements, based on US tick-by-tick data. Using these shocks, we estimate that news of a 1% decline in intermediaries' net worth leads to a 0.2% to 0.4% decrease in the market value of nonfinancial firms. These effects are more pronounced for firms with high default risk and low liquidity and when the aggregate net worth of intermediaries is low.
Physical Description: 1 Online-Ressource (circa 57 Seiten); Illustrationen
DOI: 10.34989/swp-2022-24