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Monetary Policy in an Estimated DSGE Model with a Financial Accelerator

  • Ali Dib
  • Ian Christensen

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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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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