FinancialshocksandtheUSbusinesscycle$

Employingthefinancialaccelerator(FA)modelofBernankeetal.[1999.TheFinancial acceleratorinaquantitativebusinesscycleframework.In:Taylor,J.B.,Woodford,M. (Eds.),HandbookofMacroeconomics,vol.1C.HandbooksinEconomics,vol.15.Elsevier, Amsterdam, pp.1341–1393]enhancedtoincludeashocktotheFAmechanism,we constructandstudyshockstotheefficiencyofthefinancialsectorduringpost-warUS businesscycles.Theseshocksarefoundto(i)beverytightlylinkedwiththeonsetof recessions, moresothanTFPormonetaryshocks;(ii)remaincontractionaryafter recessions haveended;(iii)accountforalargepartofthevarianceofGDP;(iv)be generallymuchmoreimportantthanmoneyshocksand(v)bestronglynegatively correlated withtheexternalfinancepremium.