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
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
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)
Persistent link: https://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.
Bibliographic data for series maintained by Christopher F. Baum ().