Introducing financial frictions and unemployment into a small open economy model

被引：167

作者：

Christiano, Lawrence J. ^{[2
,3
]}

Trabandt, Mathias ^{[1
,4
]}

Walentin, Karl ^{[1
]}

机构：

[1] Sveriges Riksbank, Div Res, S-10337 Stockholm, Sweden

[2] Northwestern Univ, Evanston, IL 60208 USA

[3] NBER, Cambridge, MA 02138 USA

[4] European Cent Bank, Frankfurt, Germany

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2011年 / 35卷 / 12期

关键词：

DSGE model; Financial frictions; Employment frictions; Small open economy; Bayesian estimation; MONETARY TRANSMISSION MECHANISM; EQUILIBRIUM UNEMPLOYMENT; DSGE MODEL; EURO AREA; NOMINAL RIGIDITIES; OUTPUT COMPOSITION; CYCLICAL BEHAVIOR; JOB DESTRUCTION; STICKY PRICES; EXCHANGE-RATE;

D O I：

10.1016/j.jedc.2011.09.005

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Which are the main frictions and the driving forces of business cycle dynamics in an open economy? To answer this question we extend the standard new Keynesian model in three dimensions: we incorporate financing frictions for capital, employment frictions for labor and extend the model into a small open economy setting. We estimate the model on Swedish data. Our main results are that (i) a financial shock is pivotal for explaining fluctuations in investment and GDP. (ii) The marginal efficiency of investment shock has negligible importance. (iii) The labor supply shock is unimportant in explaining GDP and no high frequency wage markup shock is needed. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：1999 / 2041

页数：43

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