Financial Frictions in Data : Evidence and Impact /
This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a...
| मुख्य लेखक: | |
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| स्वरूप: | पत्रिका |
| भाषा: | English |
| प्रकाशित: |
Washington, D.C. :
International Monetary Fund,
2014.
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| श्रृंखला: | IMF Working Papers; Working Paper ;
No. 2014/238 |
| ऑनलाइन पहुंच: | Full text available on IMF |
| सारांश: | This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks. |
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| वस्तु वर्णन: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| भौतिक वर्णन: | 1 online resource (33 pages) |
| स्वरूप: | Mode of access: Internet |
| आईएसएसएन: | 1018-5941 |
| अभिगमन: | Electronic access restricted to authorized BRAC University faculty, staff and students |