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Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification / Pablo Ottonello, Wenting Song.
- Format:
- Book
- Author/Creator:
- Ottonello, Pablo.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29638.
- NBER working paper series no. w29638
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth in 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 U.S. tick-by-tick data. Using these shocks, we estimate that news of a 1-percent decline in intermediaries' net worth leads to a 0.2-0.4 percent 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.
- Notes:
- Print version record
- January 2022.
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