Financial Shocks, Uncertainty Shocks, and Corporate Liquidity
Bibliographic Data
| ID | 21653373 |
|---|---|
| Authors | Marco Brianti (Department of Economics University of Bologna Bologna Italy, corresponding author) |
| Year | 2025 |
| Volume | 40 |
| Issue | 7 |
| Pages | 814-828 |
| Publication date | 2025-11-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.70006 |
| OpenAlex | W4413803893 |
| Language | EN |
| References cited | 53 |
I estimate a structural VAR identified using sign restrictions to separately identify financial, macro uncertainty, and financial uncertainty shocks. The novelty of the estimation procedure relies on the qualitatively different response of corporate liquidity: Financial shocks lead firms to draw down their liquidity as they lose access to external finance, while uncertainty‐type shocks drive‐up liquid assets as a precautionary measure. While all three shocks have contractionary effects on the US economy, only macro uncertainty shocks trigger deflationary patterns. Existing theoretical frameworks can rationalize this finding
Business · Economics · Financial system · Liquidity crisis · Market liquidity · Monetary economics · Market Dynamics and Volatility · Monetary Policy and Economic Impact · Risk Management in Financial Firms · Finance
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| Highly cited | No |
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