Arbeitspapier
The financial accelerator mechanism: does frequency matter?
We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism a la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the quarterly frequency, i.e. we document its inversion. That is because aggregating monthly data into quarterly leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.
- ISBN
-
978-92-899-4970-5
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2637
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Business Fluctuations; Cycles
Monetary Policy
- Thema
-
DSGE models
financial accelerator
Mixed-frequency data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Foroni, Claudia
Gelain, Paolo
Marcellino, Massimiliano
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2022
- DOI
-
doi:10.2866/223747
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Foroni, Claudia
- Gelain, Paolo
- Marcellino, Massimiliano
- European Central Bank (ECB)
Entstanden
- 2022
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