This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The Financial Accelerator: Evidence using a procedure of Structural Model Design

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Roger Hammersland and Dag Henning Jacobsen () (Statistics Norway)
Abstract

We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between credit and asset prices creates a mechanism by which the effects of shocks persist and amplify. However, while innovations to asset prices and credit do cause short-run movements in production, and while real activity spurs credit, such innovations do not precede real economy movements in the long run. Hence, there obviously is a case for Modigliani-Miller in the long run.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.ssb.no/publikasjoner/DP/pdf/dp569.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Research Department of Statistics Norway in its series Discussion Papers with number 569.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:ssb:dispap:569

Contact details of provider:
Postal: P.O.Box 8131 Dep, N-0033 Oslo, Norway
Phone: (+47) 21 09 00 00
Fax: (+47) 21 09 49 73
Email:
Web page: http://www.ssb.no
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (B Mellemstrand).

Related research
Keywords: Financial variables and the real economy; The Financial Accelerator; Business fluctuations; Structural vector Error Correction modeling; Identification; Cointegration.;

Other versions of this item:

Find related papers by JEL classification:
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Beaudry, Paul & Portier, Franck, 2005. "The 'News' View of Economic Fluctuations: Evidence from Aggregate Japanese Data and Sectoral US Data," CEPR Discussion Papers 5176, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  2. Lown, Cara & Morgan, Donald P., 2006. "The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1575-1597, September. [Downloadable!] (restricted)
    Other versions:
  3. Bardsen, Gunnar & Klovland, Jan Tore, 2000. " Shaken or Stirred? Financial Deregulation and the Monetary Transmission Mechanism in Norway," Scandinavian Journal of Economics, Blackwell Publishing, vol. 102(4), pages 563-83, December. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? To receive notification of recent additions to the database, subscribe to the free NEP reports.

This page was last updated on 2009-11-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.