Financial Accelerator Effects in UK Business Cycles

Hall, Simon

doi:10.2139/ssrn.296824

Cited by 16 publications

(10 citation statements)

References 15 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Moreover, the effect on investment is stronger during recessions and periods of tight monetary policy for firms with weak balance sheets. Finally, Hall (2001) concludes that a business cycle model for the UK incorporating financial accelerator effects is consistent with observed features of corporate real and financial behaviour during downturns up to 2000.…”

Section: Nonlinear Effects Of Credit Aggregates}theory and Evidencesupporting

confidence: 69%

Bank lending in Germany and the UK: are there differences between a bank‐based and a market‐based country?

Kaufmann

Valderrama

2007

Int. J Fin Econ

View full text Add to dashboard Cite

We estimate Markov switching vector autoregressive systems for loans to firms and loans to households to investigate their relationship to interest rates and investment and consumption, respectively. We find evidence for different reactions of lending to shocks in real variables and interest rates across regimes both within countries and across countries for a given regime. We find evidence for a procyclical effect of lending during specific growth periods in both countries.

show abstract

Section: Nonlinear Effects Of Credit Aggregates}theory and Evidencesupporting

confidence: 69%

Bank lending in Germany and the UK: are there differences between a bank‐based and a market‐based country?

Kaufmann

Valderrama

2007

Int. J Fin Econ

View full text Add to dashboard Cite

show abstract

“…2 Subsequent work using the Bernanke et al (1999) model for other countries has provided similar results (see Hall, 2001 for the United Kingdom and Fukunaga, 2002 for Japan). A number of studies have used this financial-accelerator mechanism to account for macroeconomic developments at times of financial crisis.…”

Section: Introductionmentioning

confidence: 79%

The financial accelerator in an estimated New Keynesian model

Christensen

Dib

2008

Review of Economic Dynamics

263

167

View full text Add to dashboard Cite

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. Crown

show abstract

“…On the demand side, an anticipation of rising borrowing costs and uncertainty over repayment capability may lead to a sharp downward revision of the desired level of capital and debts by firms; additionally, financial restructuring, for instance in the case of voluntary liquidations, is undertaken, in most cases, by reducing the debt level. The stronger effect in the second period seems to coincide with a marked financial retrenchment by the corporate sector seen since the 1880s, in particular in the early 1990s, as reported by Hall (2001). It may also reflect more flexibility and independence that allow banks to respond in the post‐1980 period during which the institutional and functional changes took place in the financial sector.…”

mentioning

confidence: 74%

Business Failures and Macroeconomic Factors in the Uk

Liu¹

2009

Bulletin of Econ Res

View full text Add to dashboard Cite

We examine the interactions between business failures and macroeconomic aggregates, and specifically the accounts of policy-induced changes in the macroeconomy for the observed fluctuations of UK business failures in the period 1966-2003 using the vector errorcorrection model (VECM). The results demonstrate that macroeconomic aggregates, i.e., interest rate, credit, profits, inflation and business births, exert differential impacts on business failures both in the short run and in the long run. The study reveals that structural changes in the financial and real sectors during the examined period have made an impact on the way in which the macroeconomy affects business failures. In particular, business failures are increasingly reacting to monetary policy changes in the post-1980 period. Furthermore, the shocks to business failures can generate large fluctuations in macroeconomic aggregates, suggesting the importance of corporate balance sheets in financial stability and economic growth. The paper's findings carry policy implications that are related to the survival of firms in distress and finance-driven business cycles.

show abstract

Financial Accelerator Effects in UK Business Cycles

Cited by 16 publications

References 15 publications

Bank lending in Germany and the UK: are there differences between a bank‐based and a market‐based country?

Bank lending in Germany and the UK: are there differences between a bank‐based and a market‐based country?

The financial accelerator in an estimated New Keynesian model

Business Failures and Macroeconomic Factors in the Uk

Contact Info

Product

Resources

About