Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
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具有金融加速器的估计 DSGE 模型中的货币政策
DOI：
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发表时间：
2006
期刊：
影响因子：
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通讯作者：
Ali Dib
中科院分区：
文献类型：
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作者：
I. Christensen;Ali Dib
本文估计了一个带有金融加速器的粘性价格DSGE模型，以评估金融摩擦在短期冲击效应的消除和传播中的存在性和重要性。两个模型的结构参数，一个有和一个没有金融加速器，估计使用最大似然程序和战后美国的数据。估计结果为金融加速器模型提供了一些定量证据，但模拟结果并不支持金融加速器模型。外部融资溢价对杠杆率变化的敏感性在1979年后的时期比之前的二十年要低。
This paper estimates a sticky-price DSGE model with a flnancial accelerator to assess the evidence for the existence and importance of flnancial frictions in the ampliflcation and propagation of the efiects of transitory shocks. Structural parameters of two models, one with and one without a flnancial accelerator, are estimated using a maximum-likelihood procedure and post-war US data. The estimation results provide some quantitative evidence in favour of the flnancial accelerator model, but the simulation results do not. The sensitivity of the external flnance premium to changes in the leverage ratio is found to be lower in the post-1979 period then over the two preceeding decades.