Financial Shocks, Uncertainty Shocks, and Corporate Liquidity

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.

• Publication year

  2025

• Venue

  Journal of applied econometrics

• Publication date

  2025-08-28

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1002/jae.70006
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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