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Financial Frictions in Data Evidence and Impact

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a...

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Bibliographic Details
Main Author: Taheri Sanjani, Marzie
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2014
Series:IMF Working Papers
Subjects:
Credit
Equilibrium; Economics
Financial Frictions
Dynamic Treatment Effect Models
Bond Yields
Exports And Imports
International Lending And Debt Problems
External Debt
Money
Vector Autoregression
Time-series Models
Model Construction And Estimation
Cycles
Bonds
Econometrics
Economic Theory
Impulse Response Analysis
Econometrics & Economic Statistics
State Space Models
Bayesian Analysis: General
Econometric Analysis
Monetary Economics
Financial Institutions
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
Diffusion Processes
General Financial Markets: General (includes Measurement And Data)
Economic Theory & Philosophy
Economic Forecasting
Investments: Bonds
International Economics
Debts, External
Financial Economics
Financial Markets And The Macroeconomy
Business Fluctuations
Dynamic Quantile Regressions
Investment & Securities
Monetary Policy
Money And Monetary Policy
Debt Default
United States
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks
Physical Description:33 pages
ISBN:9781484336557

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