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Estimating contract indexation in a financial accelerator model

Charles Carlstrom, Timothy Fuerst, Alberto Ortiz () and Matthias Paustian
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Matthias Paustian: https://www.federalreserve.gov/econres/matthias-o-paustian.htm

No 1216, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: This paper addresses the positive implications of indexing risky debt to observable aggregate conditions. These issues are pursued within the context of the celebrated financial accelerator model of Bernanke, Gertler and Gilchrist (1999). The principal conclusions include: (1) the estimated level of indexation is significant, (2) the business cycle properties of the model are significantly affected by this degree of indexation, (3) the importance of investment shocks in the business cycle depends upon the estimated level of indexation, and (4) although the data prefers the financial model with indexation over the frictionless model, they have remarkably similar business cycle properties for non-financial exogenous shocks.

Keywords: Business; cycles (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-dge and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Estimating contract indexation in a Financial Accelerator Model (2014) Downloads
Working Paper: Estimating Contract Indexation in a Financial Accelerator Model (2013) Downloads
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