A time varying DSGE model with financial frictions

被引：15

作者：

Galvao, Ana Beatriz ^{[1
]}

Giraitis, Liudas ^{[2
]}

Kapetanios, George ^{[3
]}

Petrova, Katerina ^{[2
]}

机构：

[1] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

[2] Queen Mary Univ London, Sch Econ & Finance, London, England

[3] Kings Coll London, London WC2R 2LS, England

来源：

JOURNAL OF EMPIRICAL FINANCE | 2016年 / 38卷

关键词：

DSGE models; Financial frictions; Bayesian methods; Time varying parameters; MONETARY-POLICY; SHOCKS; VOLATILITY; DYNAMICS;

D O I：

10.1016/j.jempfin.2016.02.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We build a time varying DSGE model with financial frictions in order to evaluate changes in the responses of the macroeconomy to financial friction shocks. Using U.S. data, we find that the transmission of the financial friction shock to economic variables, such as output growth, has not changed in the last 30 years. The volatility of the financial friction shock, however, has changed, so that output responses to a one-standard deviation of the shock increase twofold in the 2007-2011 period in comparison with the 1985-2006 period. The time varying DSGE model with financial frictions improves the accuracy of forecasts of output growth and inflation during the tranquil period of 2000-2006, while delivering similar performance to the fixed coefficient DSGE model for the 2007-2012 period. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：690 / 716

页数：27

共 50 条

[1] The role of financial frictions during the crisis: An estimated DSGE model
Merola, Rossana
[J]. ECONOMIC MODELLING, 2015, 48 : 70 - 82
[2] UK monetary policy in an estimated DSGE model with financial frictions
Lyu, Juyi
Le, Vo Phuong Mai
Meenagh, David
Minford, Patrick
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2023, 130
[3] Financial Frictions and Shocks in an Estimated Small Open Economy DSGE Model
Doojav, Gan-Ochir
Kalirajan, Kaliappa
[J]. JOURNAL OF QUANTITATIVE ECONOMICS, 2020, 18 (02) : 253 - 291
[4] DSGE model with financial frictions over subsets of business cycle frequencies
Gallegati, Marco
Giri, Federico
Palestrini, Antonio
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2019, 100 : 152 - 163
[5] Financial Frictions and Shocks in an Estimated Small Open Economy DSGE Model
Gan-Ochir Doojav
Kaliappa Kalirajan
[J]. Journal of Quantitative Economics, 2020, 18 : 253 - 291
[6] Bayesian Evaluation of DSGE Models with Financial Frictions
Brzoza-Brzezina, Michal
Kolasa, Marcin
[J]. JOURNAL OF MONEY CREDIT AND BANKING, 2013, 45 (08) : 1451 - 1476
[7] Forecasting using DSGE models with financial frictions
Kolasa, Marcin
Rubaszek, Michal
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 2015, 31 (01) : 1 - 19
[8] The anatomy of standard DSGE models with financial frictions
Brzoza-Brzezina, Michal
Kolasa, Marcin
Makarski, Krzysztof
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2013, 37 (01): : 32 - 51
[9] The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the US economy
Rychalovska, Yuliya
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2016, 73 : 259 - 282
[10] Forecasting with instabilities: An application to DSGE models with financial frictions
Cardani, Roberta
Paccagnini, Alessia
Villa, Stefania
[J]. JOURNAL OF MACROECONOMICS, 2019, 61

← 1 2 3 4 5 →