DMCA
The financial accelerator in an estimated New Keynesian model (2008)
BibTeX
@MISC{Christensen08thefinancial,
author = {Ian Christensen and Ali Dib},
title = { The financial accelerator in an estimated New Keynesian model },
year = {2008}
}
Share
 |
 |
 |
 |
||
OpenURL
Abstract
This paper estimates and simulates a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke et al. [Bernanke, B., Gertler, M., Gilchrist, S., 1999. The financial accelerator in a quantitative business cycle framework. In: Handbook of Macroeconomics. North-Holland, Amsterdam], to assess the importance of the financial accelerator mechanism in fitting the data and its role in the amplification and propagation of transitory shocks. Structural parameters of two models, one with and one without a financial accelerator, are estimated using a maximum-likelihood procedure and post-1979 US data. The estimation and simulation results provide quantitative evidence in favor of the financial-accelerator model. The model without a financial accelerator is statistically rejected in favor of a model with it. The presence of the financial accelerator amplifies and propagates the effects of demand shocks on investment, but it dampens those of supply shocks. However, we find that the importance of the financial accelerator for output fluctuations is relatively minor.
Keyphrases
financial accelerator estimated new keynesian model supply shock simulation result quantitative business cycle framework output fluctuation demand shock post-1979 u data financial-accelerator model quantitative evidence sticky-price dynamic stochastic general-equilibrium model maximum-likelihood procedure structural parameter financial accelerator mechanism transitory shock financial accelerator amplifies
