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Financial Frictions and Sources of Business Cycle, Marzie Taheri Sanjani

Abstract
This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US post-war macroeconomic data well, and shows that financial shocks play a greater role in explaining the volatility of macroeconomic variables than marginal efficiency of investment (MEI) shocks
Table Of Contents
Cover; Contents; I. INTRODUCTION; List of Figures; 1 Growth and TED spread (left axis) and credit spread (right axis); II. MODEL; 2 Economy with nancial intermediary; A. Households; B. Financial Intermediaries; C. Intermediate Good Producer Firm; D. Capital Producer Firm; D.1. Tobin's Q; E. Retail Firms; F. Central Bank; G. Government Budget Constraint; H. Resource Constraint; III.EMPIRICAL EVALUATION; A. Prior Distributions; 3 Brooks and Gelman's convergence diagnostics; B. Posterior Estimates; 4 Smoothed nancial shocks and default risk spread; List of Tables
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (34 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781498322386

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