Monetary Policy in an Estimated DSGE Model with a Financial Accelerator

Ali Dib () and Ian Christensen ()

No 314, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: This paper estimates a sticky-price DSGE model with a financial accelerator 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-war US 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

Keywords: Monetary policy; Financial accelerator; DSGE estimation (search for similar items in EconPapers)
JEL-codes: E31 E44 E51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
Date: 2005-11-11
View list of references View citations in EconPapers

Downloads: (external link)
http://repec.org/sce2005/up.321.1107189863.pdf (application/pdf)

Related works:
Working Paper: Monetary Policy in an Estimated DSGE Model with a Financial Accelerator (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:sce:scecf5:314

Access Statistics for this paper

More papers in Computing in Economics and Finance 2005 from Society for Computational Economics
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().