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Financial Frictions and Sources of Business Cycle

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US...

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Bibliographic Details
Main Author: Taheri Sanjani, Marzie
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2014
Series:IMF Working Papers
Subjects:
Business Cycles
Economic & Financial Crises & Disasters
Institutional Investors
Pension Funds
Financial Frictions
Finance
Economic Theory
Labour; Income Economics
Financial Crises
Industries: Financial Services
Financial Institutions
Financial Instruments
Economic Forecasting
Economic Theory & Philosophy
Labor
Money And Interest Rates: Forecasting And Simulation
Non-bank Financial Institutions
Nonbank Financial Institutions
Labor Economics: General
Economic Growth
Financial Economics
Financial Markets And The Macroeconomy
Financial Services Industry
Macroeconomics
Central Banks And Their Policies
Prices, Business Fluctuations, And Cycles: General (includes Measurement And Data)
Financial Risk Management
Monetary Policy
Bayesian Analysis: General
Labor Economics
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US post-war macroeconomic data well, and shows that financial shocks play a greater role in explaining the volatility of macroeconomic variables than marginal efficiency of investment (MEI) shocks
Physical Description:33 pages
ISBN:9781498347792

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