Bayesian evaluation of DSGE models with financial frictions

• Autorzy: Michał Brzoza-Brzezina , Marcin Kolasa
• Języki publikacji: EN

Abstrakty

EN

We evaluate two most popular approaches to implementing financial frictions into DSGE models: the Bernanke et al. (1999) setup, where frictions afect the price of loans, and the Kiyotaki and Moore (1997) model, where they concern the quantity of loans. We take both models to the data and check how well they fit it on several margins. Overall, comparing the models favors the Bernanke et al. framework. However, even this model does not make a clear improvement over the New Keynesian benchmark in terms of marginal likelihood and similarity of impulse responses to those obtained from a VAR. These findings point at the need for further research to develop macrofinancial models that would better describe the business cycle dynamics. (original abstract)

Słowa kluczowe

EN

Dynamic Stochastic General Equilibrium (DSGE); Financial crisis; Economic shock; Bayesian models; Transmission of monetary policy

PL

Model dynamicznej stochastycznej równowagi ogólnej; Kryzys finansowy; Szok gospodarczy; Modele bayesowskie; Transmisja polityki pieniężnej

• Czasopismo: Department of Applied Econometrics Working Papers
• Rocznik: 2013
• Numer: nr 5
• Strony: 25

Twórcy

autor

Michał Brzoza-Brzezina

• Warsaw School of Economics, Poland

autor

Marcin Kolasa

• Szkoła Główna Handlowa w Warszawie

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