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

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