The financial accelerator mechanism: does frequency matter?

Claudia Foroni, Paolo Gelain and Massimiliano Marcellino

No 2637, Working Paper Series from European Central Bank

Abstract: We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism à la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the quarterly frequency, i.e. we document its inversion. That is because aggregating monthly data into quarterly leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks. JEL Classification: C52, E32, E52

Keywords: DSGE models; financial accelerator; mixed-frequency data (search for similar items in EconPapers)
Date: 2022-02
New Economics Papers: this item is included in nep-cwa, nep-dge, nep-fdg and nep-mac
Note: 3243564
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: The financial accelerator mechanism: does frequency matter? (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20222637

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