Arbeitspapier
What does structural analysis of the external finance premium say about financial frictions?
I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks. I confront my empirical evidence with the predictions from financial dynamic stochastic general equilibrium (DSGE) models with respect to the finance premium in order to identify an empirically relevant financial friction. The Bernanke, Gertler and Gilchrist (1999) model generates transmission mechanisms that are favored by the data.
- Sprache
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Englisch
- Erschienen in
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Series: Bank of Canada Staff Working Paper ; No. 2019-38
- Klassifikation
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Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
- Thema
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Financial markets
Economic models
Recent economic and financialdevelopments
- Ereignis
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Geistige Schöpfung
- (wer)
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Zivanovic, Jelena
- Ereignis
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Veröffentlichung
- (wer)
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Bank of Canada
- (wo)
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Ottawa
- (wann)
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2019
- DOI
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doi:10.34989/swp-2019-38
- Handle
- Letzte Aktualisierung
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20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Zivanovic, Jelena
- Bank of Canada
Entstanden
- 2019