Financial Frictions and Sources of Business Cycle /

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US...

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書目詳細資料
主要作者: Taheri Sanjani, Marzie
格式: 雜誌
語言:English
出版: Washington, D.C. : International Monetary Fund, 2014.
叢編:IMF Working Papers; Working Paper ; No. 2014/194
在線閱讀:Full text available on IMF
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520 3 |a This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US post-war macroeconomic data well, and shows that financial shocks play a greater role in explaining the volatility of macroeconomic variables than marginal efficiency of investment (MEI) shocks. 
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830 0 |a IMF Working Papers; Working Paper ;  |v No. 2014/194 
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