The financial accelerator mechanism: does frequency matter?

Claudia Foroni, Paolo Gelain and Massimiliano Marcellino

No 22-29, Working Papers from Federal Reserve Bank of Cleveland

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 quarterly frequency; that is, we document its inversion. That is because aggregating monthly data into quarterly data leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.

Keywords: DSGE models; financial accelerator; mixed-frequency data (search for similar items in EconPapers)
JEL-codes: C52 E32 E52 (search for similar items in EconPapers)
Pages: 42
Date: 2022-11-07
New Economics Papers: this item is included in nep-dge and nep-ets
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwq:94980

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DOI: 10.26509/frbc-wp-202229

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