The Financial Accelerator in a Quantitative Business Cycle Framework
The Financial Accelerator in a Quantitative Business Cycle Framework
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DOI：
10.3386/w6455
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发表时间：
1998-03
期刊：
影响因子：
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通讯作者：
B. Bernanke;M. Gertler;Simon Gilchrist
中科院分区：
文献类型：
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作者：
B. Bernanke;M. Gertler;Simon Gilchrist
本文建立了一个动态一般均衡模型，从定性和定量两个角度来阐明信贷市场摩擦在商业波动中的作用。该模型是文献中的主要方法的综合。特别是，该框架展示了一个金融加速器，因为信贷市场的内生发展会放大和传播对宏观经济的冲击。此外，我们增加了几个功能的模型，旨在提高经验的相关性。首先，我们将货币和价格粘性，这使我们能够研究如何信贷市场摩擦可能会影响货币政策的传导。此外，我们允许投资滞后，这使得模型能够产生驼峰形的产出动态和资产价格与投资之间的领先-滞后关系，这与数据一致。最后，我们允许企业之间存在异质性，以反映借款人进入资本市场的机会存在差异这一事实。在合理的模型参数化条件下，金融加速器对经济周期动态有显著影响。
This paper develops a dynamic general equilibrium model that is intended to help clarify the role of credit market frictions in business fluctuations, from both a qualitative and a quantitative standpoint. The model is a synthesis of the leading approaches in the literature. In particular, the framework exhibits a financial accelerator,' in that endogenous developments in credit markets work to amplify and propagate shocks to the macroeconomy. In addition, we add several features to the model that are designed to enhance the empirical relevance. First, we incorporate money and price stickiness, which allows us to study how credit market frictions may influence the transmission of monetary policy. In addition, we allow for lags in investment which enables the model to generate both hump-shaped output dynamics and a lead-lag relation between asset prices and investment, as is consistent with the data. Finally, we allow for heterogeneity among firms to capture the fact that borrowers have differential access to capital markets. Under reasonable parametrizations of the model, the financial accelerator has a significant influence on business cycle dynamics.