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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:
Econometrics & Economic Statistics
External Debt
Time-series Models
Bonds
International Economics
Money And Monetary Policy
Bayesian Analysis: General
Financial Institutions
Financial Markets And The Macroeconomy
State Space Models
Exports And Imports
Investments: Bonds
Diffusion Processes
Debts, External
Economic Theory
Cycles
Economics
Vector Autoregression
Econometric Analysis
Equilibrium
Economic Forecasting
Dynamic Treatment Effect Models
International Lending And Debt Problems
Business Fluctuations
Monetary Economics
General Financial Markets: General (includes Measurement And Data)
Investment & Securities
Impulse Response Analysis
Credit
Financial Frictions
Financial Economics
Bond Yields
Monetary Policy, Central Banking, And The Supply Of Money And Credit: General
Model Construction And Estimation
Econometrics
Dynamic Quantile Regressions
Debt Default
Money
Monetary Policy
Economic Theory & Philosophy
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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