How important are financial frictions in the US and the Euro area

Arbeitspapier

This paper aims to evaluate if frictions in credit markets are important for business cycles in the U.S. and the Euro area. For this purpose, I modify the DSGE financial accelerator model developed by Bernanke, Gertler and Gilchrist (1999) by adding frictions such as price indexation to past inflation, sticky wages, consumption habits and variable capital utilization. When I estimate the model with Bayesian methods, I find that financial frictions are relevant in both areas. According to the posterior odds ratio, the data clearly favors the model with financial frictions both in the U.S. and the Euro area. Moreover, consistent with common perceptions, financial frictions are larger in the Euro area.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Sveriges Riksbank Working Paper Series ; No. 223

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Bayesian Analysis: General ; Statistical Simulation Methods: General ; Business Fluctuations; Cycles ; Money and Interest Rates: General ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; General Financial Markets: General (includes Measurement and Data)
• Thema: Financial frictions ; DSGE models ; Bayesian estimation ; Konjunkturtheorie ; Liquiditätsbeschränkung ; Dynamisches Gleichgewicht ; Bayes-Statistik ; Eurozone ; EU-Staaten ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Queijo von Heideken, Virginia
• Ereignis: Veröffentlichung
• (wer): Sveriges Riksbank
• (wo): Stockholm
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/81901
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ