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Title | Monetary Policy in an Estimated DSGE Model with a Financial Accelerator |
Author | Ian Christensen and Ali Dib |
Type | Working Paper 2006-9 |
Date of publication |
March 2006 |
Language | English |
Abstract |
The authors estimate a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke, Gertler, and Gilchrist (1999), to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. Structural parameters of two models, one with and one without a financial accelerator, are estimated using a maximum-likelihood procedure and post-1979 U.S. data. The estimation and simulation results provide some quantitative evidence in favour of the financial-accelerator model. The financial accelerator appears to play an important role in investment fluctuations, but its importance for output depends on the nature of the initial shock. |
Bank topic index |
Business fluctuations and cycles; Economic models; Econometric and statistical methods |
JEL classification |
E32, E37, E44 |
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