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Financial frictions in data : evidence and impact

Author: Marzie Taheri Sanjani; International Monetary Fund. European Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2014.
Series: IMF working paper, WP/14/238.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary  Read more...
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Details

Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Marzie Taheri Sanjani; International Monetary Fund. European Department.
OCLC Number: 899006759
Notes: "December 2014."
"European Department."
Description: 1 online resource (33 pages) : color illustrations.
Series Title: IMF working paper, WP/14/238.
Responsibility: prepared by Marzie Taheri Sanjani.

Abstract:

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks.--Abstract.

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