An Estimated Small Open Economy Model of the Financial Accelerator
An Estimated Small Open Economy Model of the Financial Accelerator
复制标题
金融加速器的小型开放经济模型估计
DOI：
10.2307/30036012
复制
发表时间：
2005
影响因子：
1.2
通讯作者：
Ivan Tchakarov
中科院分区：
文献类型：
--
作者：
Selim Elekdağ;Alejandro Justiniano;Ivan Tchakarov
本文开发了一种小型开放经济模型，其中企业家使用外币计价的债务来部分资助投资，但须支付外部融资溢价。我们使用贝叶斯估计技术，通过纳入金融加速器机制来评估新兴市场国家与资产负债表相关的信贷市场摩擦的重要性。我们获得了相当大的外部融资溢价值，该值是严格估计的，远离零。我们的结果支持将金融加速器纳入其他标准模型中，该模型通过资产负债表发挥作用，放大冲击的影响，从而增加实际和金融波动性。版权所有 2006，国际货币基金组织
This paper develops a small open economy model in which entrepreneurs partially finance investment using foreign currency-denominated debt subject to an external finance premium. We use Bayesian estimation techniques to evaluate the importance of balance sheet-related credit market frictions for emerging market countries by incorporating the financial accelerator mechanism. We obtain a sizable value for the external finance premium, which is tightly estimated away from zero. Our results support the inclusion of the financial accelerator in an otherwise standard model that-acting through balance sheets-magnifies the impact of shocks, thereby increasing real and financial volatility. Copyright 2006, International Monetary Fund