Bayesian Evaluation of DSGE Models with Financial Frictions

Michał Brzoza‐brzezina and Marcin Kolasa
Authors registered in the RePEc Author Service: Michal Brzoza-Brzezina

Journal of Money, Credit and Banking, 2013, vol. 45, issue 8, 1451-1476

Abstract: We evaluate two most popular approaches to implementing financial frictions into DSGE models: the Bernanke, Gertler, and Gilchrist () setup, where frictions affect the price of loans, and the Kiyotaki and Moore () model, where they concern the quantity of loans. We take both models to the data and check how well they fit it on several margins. Overall, comparing the models favors the Bernanke, Gertler, and Gilchrist framework. However, even this model does not make a clear improvement over the New Keynesian benchmark in terms of marginal likelihood and similarity of impulse responses to those obtained from a VAR.

Date: 2013
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Citations: View citations in EconPapers (16)

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https://doi.org/10.1111/jmcb.12059

Related works:
Journal Article: Bayesian Evaluation of DSGE Models with Financial Frictions (2013)
Working Paper: Bayesian evaluation of DSGE models with financial frictions (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:45:y:2013:i:8:p:1451-1476

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