UNDERSTANDING THE MACROECONOMIC IMPACT OF ILLIQUIDITY SHOCKS IN THE UNITED STATES

Chia Yi Yen, Yu Hsi Chou

研究成果: 雜誌貢獻文章

摘要

In this paper, we empirically investigate the role of stock market illiquidity shocks, stemming from Amihud's illiquidity measure, in explaining U.S. macroeconomic fluctuations from 1973 to 2018. We find that the impact of illiquidity shocks on economic activity is substantial, and historical decomposition analysis shows that cumulative illiquidity shocks were an essential contributor to the prolonged economic slump of the Great Recession. Moreover, our identified illiquidity shocks represent a distinct source of macroeconomic instability. This suggests that illiquidity shocks, measured by the stock price impacts, may contain more information than other types of shocks in recent studies, such as financial shocks and uncertainty shocks. (JEL C32, E32).

原文英語
頁(從 - 到)1245-1278
頁數34
期刊Economic Inquiry
58
發行號3
DOIs
出版狀態接受/付印 - 2020 一月 1

ASJC Scopus subject areas

  • Business, Management and Accounting(all)
  • Economics and Econometrics

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