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Monetary Policy in an Estimated DSGE Model with a Financial Accelerator

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  • Ali Dib
  • Ian Christensen

Abstract

This paper estimates a sticky-price DSGE model with a financial accelerator to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. Structural parameters of two models, one with and one without a financial accelerator, are estimated using a maximum-likelihood procedure and post-war US data. The estimation and simulation results provide some quantitative evidence in favour of the financial accelerator model. The financial accelerator appears to play an important role in investment fluctuations, but its importance for output depends on the nature of the initial shock

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File URL: http://repec.org/sce2005/up.321.1107189863.pdf
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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2005 with number 314.

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Date of creation: 11 Nov 2005
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Handle: RePEc:sce:scecf5:314

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Keywords: Monetary policy; Financial accelerator; DSGE estimation;

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References

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Citations

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Cited by:
  1. Fuchi, Hitoshi & Muto, Ichiro & Ugai, Hiroshi, 2005. "A Historical Evaluation of Financial Accelerator Effects in Japan's Economy," MPRA Paper 4648, University Library of Munich, Germany.
  2. Nicolas Petrosky-Nadeau, 2009. "Credit, Vacancies and Unemployment Fluctuations," GSIA Working Papers 2009-E27, Carnegie Mellon University, Tepper School of Business.
  3. Merola, Rossana, 2010. "Financial frictions and the zero lower bound on interest rates: a DSGE analysis," MPRA Paper 29365, University Library of Munich, Germany.
  4. Martha R. López & Norberto Rodríguez N., 2008. "Financial Accelerator Mechanism: Evidence for Colombia," BORRADORES DE ECONOMIA 004509, BANCO DE LA REPÚBLICA.
  5. Ramiro Rodríguez Revilla, 2011. "Modelos de equilibrio general dinámicos y estocásticos para Colombia 1995-2011," REVISTA ECOS DE ECONOMÍA, UNIVERSIDAD EAFIT.
  6. Rossana Merola, 2009. "A bayesian estimation of a DSGE model with financial frictions," CEIS Research Paper 149, Tor Vergata University, CEIS, revised 01 Oct 2009.
  7. André Kurmann & Nicolas Petrosky-Nadeau, 2007. "Search Frictions in Physical Capital Markets as a Propagation Mechanism," Cahiers de recherche 0712, CIRPEE.
  8. Queijo, Virginia, 2005. "How Important are Financial Frictions in the U.S. and Euro Area?," Seminar Papers 738, Stockholm University, Institute for International Economic Studies.
  9. Ferre De Graeve, 2008. "The external finance premium and the macroeconomy: US post-WWII evidence," Working Papers 0809, Federal Reserve Bank of Dallas.
  10. Frank Smets & Kai Christoffel & Günter Coenen & Roberto Motto & Massimo Rostagno, 2010. "DSGE models and their use at the ECB," SERIEs, Spanish Economic Association, vol. 1(1), pages 51-65, March.
  11. Alberto Ortiz Bolaños, 2013. "Credit Market Shocks, Monetary Policy, and Economic Fluctuations," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 317-369, July-Dece.
  12. Virginia Queijo, 2005. "Bayesian Estimation of a DSGE Model with Financial Frictions for the U.S. and the Euro Area," Computing in Economics and Finance 2005 306, Society for Computational Economics.
  13. Denise Côté & Christopher Graham, 2007. "Corporate Balance Sheets in Developed Economies: Implications for Investment," Working Papers 07-24, Bank of Canada.
  14. Camilo E Tovar, 2006. "Devaluations, output and the balance sheet effect: a structural econometric analysis," BIS Working Papers 215, Bank for International Settlements.

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