How Important are Financial Frictions in the United States and the Euro Area?

Heideken, Virginia Queijo von

doi:10.1111/j.1467-9442.2009.01577.x

Cited by 46 publications

(16 citation statements)

References 33 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Christensen and Dib () estimate an EFP‐type model for the United States using a maximum‐likelihood procedure and find that the financial accelerator mechanism is supported by the data. This result was confirmed for both U.S. and euro area data by Queijo von Heideken () using Bayesian techniques. Christiano, Motto, and Rostagno () augment the standard NK model with an EFP‐like financial accelerator and the banking sector similar to Chari, Christiano, and Eichenbaum ().…”

supporting

confidence: 59%

“…As in our baseline setting, this is not the case (the NK model is estimated without financial variables), we take two alternative approaches that help us circumvent this problem. While some authors (e.g., Christensen and Dib ; Queijo von Heideken ) simply drop financial variables from financial models in order to compare them against their frictionless benchmark, we decided not to take this avenue. In our view, the idea of testing financial friction models without the use of financial variables could be hard to defend.…”

Section: Model Evaluationmentioning

confidence: 99%

See 1 more Smart Citation

Bayesian Evaluation of DSGE Models with Financial Frictions

Brzoza‐Brzezina¹,

Kolasa²

2013

J of Money Credit Banking

View full text Add to dashboard Cite

We evaluate two most popular approaches to implementing financial frictions into DSGE models: the Bernanke, Gertler, and Gilchrist () setup, where frictions affect the price of loans, and the Kiyotaki and Moore () model, where they concern the quantity of loans. We take both models to the data and check how well they fit it on several margins. Overall, comparing the models favors the Bernanke, Gertler, and Gilchrist framework. However, even this model does not make a clear improvement over the New Keynesian benchmark in terms of marginal likelihood and similarity of impulse responses to those obtained from a VAR.

show abstract

supporting

confidence: 59%

Section: Model Evaluationmentioning

confidence: 99%

Bayesian Evaluation of DSGE Models with Financial Frictions

Brzoza‐Brzezina¹,

Kolasa²

2013

J of Money Credit Banking

View full text Add to dashboard Cite

show abstract

“…12 The deep nancial parameters are calibrated because they are not well identied in the data. Several contributions compare the model by Smets and Wouters (2007) (SW) with a SW model augmented with the nancial accelerator à la Bernanke et al (1999) (see De Graeve, 2008von Heideken, 2009;Villa, 2016, among many others). In all these contributions the comparison of marginal data densities reveals that nancial frictions are empirically relevant since they improve the t of the model.…”

Section: Estimation Strategymentioning

confidence: 99%

“…1 In a second step, similarly to Galí et al (2012), we conduct counterfactual experiments in order to examine whether nancial 1 Other papers have estimated a similar model for the US/Euro Area economy with dierent research questions (see De Graeve, 2008;von Heideken, 2009;Gelain, 2010;Del Negro and Schorfheide, 2013;Christiano et al, 2014;Fuentes-Albero, 2014;Villa, 2016, among others). factors might explain the dierence in the speed of recoveries.…”

Section: Introductionmentioning

confidence: 99%

Slow recoveries: Any role for corporate leverage?

Smets

Villa

2016

Journal of Economic Dynamics and Control

View full text Add to dashboard Cite

This paper examines whether nancial conditions of the non-nancial corporate sector can explain why the recovery from recessions in the United States is slower since the mid-1980s. Leverage by the corporate sector has increased signicantly since the nancial deregulation of the mid-1980s. Empirical evidence shows that slow recoveries are associated with a signicant drop in the growth rates of investment and bank loans, and with a surge in the growth rates of corporate bonds. In an estimated dynamic stochastic general equilibrium model with a nancial accelerator, counterfactual experiments based on estimates of two samples 1965-1983 and 1984-2007 show that the non-nancial corporate indebtedness aects only marginally the speed of the recovery in the two samples.

show abstract

“…This exercise is initiated by embedding a variant of the Bernanke, Gertler, and Gilchrist [18] …nancial accelerator into the workhorse model and estimating it under the standard assumption that the …nancial sector excerpts a time-invariant in ‡uence on business cycles: that is, we follow e.g. Christiano, Motto, and Rostagno [39], and De Graeve [49] and Virginia Queljo von Heideken [114], and assume that the parameters characterizing the …nancial frictions are constant and that shocks stemming from the …nancial bloc are Gaussian. In this speci…cation, we do not …nd that the …nancial accelerator adds much propagation of other macroeconomic shocks, and that movements in the Baa-Aaa spread we add as observable is mostly explained by the exogenous shock stemming from the …nancial sector.…”

Section: Introductionmentioning

confidence: 99%

Challenges for Central Banks’ Macro Models

Lindé

Smets

Wouters

2016

Handbook of Macroeconomics

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The Working Paper series presents reports on matters in the sphere of activities of the Riksbank that are considered to be of interest to a wider public. Terms of use: Documents inThe papers are to be regarded as reports on ongoing studies and the authors will be pleased to receive comments.The opinions expressed in this article are the sole responsibility of the author(s) and should not be interpreted as reflecting the views of Sveriges Riksbank. Challenges for Central Banks'Macro Models AbstractIn this paper we discuss a number of challenges for structural macroeconomic models in the light of the Great Recession and its aftermath. It shows that a benchmark DSGE model that shares many features with models currently used by central banks and large international institutions has di¢ culty explaining both the depth and the slow recovery of the Great Recession. In order to better account for these observations, the paper analyses three extensions of the benchmark model. First, we estimate the model allowing explicitly for the zero lower bound constraint on nominal interest rates. Second, we introduce time-variation in the volatility of the exogenous disturbances to account for the non-Gaussian nature of some of the shocks. Third and …nally, we extend the model with a …nancial accelerator and allow for time-variation in the endogenous propagation of …nancial shocks. All three extensions require that we go beyond the linear Gaussian assumptions that are standard in most policy models. We conclude that these extensions go some way in accounting for features of the Great Recession and its aftermath, but they do not su¢ ce to address some of the major policy challenges associated with the use of non-standard monetary policy and macroprudential policies. JEL Classi…cation: E52, E58

show abstract

How Important are Financial Frictions in the United States and the Euro Area?

Cited by 46 publications

References 33 publications

Bayesian Evaluation of DSGE Models with Financial Frictions

Bayesian Evaluation of DSGE Models with Financial Frictions

Slow recoveries: Any role for corporate leverage?

Challenges for Central Banks’ Macro Models

Contact Info

Product

Resources

About