FINANCIAL FRICTIONS IN THE EURO AREA AND THE UNITED STATES: A BAYESIAN ASSESSMENT
FINANCIAL FRICTIONS IN THE EURO AREA AND THE UNITED STATES: A BAYESIAN ASSESSMENT
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欧元区和美国的金融摩擦：贝叶斯评估
DOI：
10.1017/s1365100514000881
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发表时间：
2014
影响因子：
0.9
通讯作者：
Stefania Villa
中科院分区：
文献类型：
--
作者：
Stefania Villa
本文评估了欧元区（EA）和美国（US）金融摩擦的实证相关性。它提供了两种模型之间的综合比较：(i) a Smets和Wouters (SW) [F]。Smets和R. Wouters，美国商业周期中的冲击和摩擦：贝叶斯DSGE方法，《美国经济评论》97(3),586-606(2007)][2]非金融公司金融摩擦模型和金融中介机构摩擦的SW模型。与标准的SW模型相比，无论以哪种方式引入金融摩擦都能提高模型的拟合度，实证比较表明，后者模型在欧元区和美国的表现都优于前者。两个主要因素解释了这一结果：第一，金融加速器效应的大小，第二，投资特异性技术冲击在影响金融变量中的作用。
This paper assesses the empirical relevance of financial frictions in the Euro Area (EA) and the United States (US). It provides a comprehensive set of comparisons between two models: (i) a Smets and Wouters (SW) [F. Smets and R. Wouters, Shocks and frictions in US business cycles: A Bayesian DSGE approach, American Economic Review 97(3), 586–606 (2007)] model with financial frictions originating in nonfinancial firms and (ii) a SW model with frictions originating in financial intermediaries. The introduction of financial frictions in either way improves the models' fit compared to a standard SW model, and the empirical comparisons reveal that the latter model outperforms the former both in the euro area and in the United States. Two main factors explain this result: first, the magnitude of the financial accelerator effect, and second, the role of the investment-specific technology shock in affecting financial variables.