Fleshing out the Monetary Transmission Mechanism: Output Composition and the Role of Financial Frictions
By André Meier, Gernot J. Müller. Social Science Research Network, 2006
137 citations recorded by the source corpus.
Financial frictions affect the way in which different macroeconomic series respond to a monetary policy shock. We embed the financial accelerator of Bernanke, Gertler, and Gilchrist (1999) into a medium-scale DSGE model and evaluate the relative importance of financial frictions in explaining monetary transmission. Specifically, we apply minimum distance estimation based on impulse responses for the Volcker-Greenspan period. Apart from providing estimates for structural parameters, our procedure lends itself for specification tests that can be used to assess the relative fit of various restricted models. Financial frictions turn out to be of lesser importance for the descriptive success of our model.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/db9eb4ec59b7112aea4638b2af0eae19a899c773
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Ivan Tchakarov
- Selim Elekdag
- Eric Mayer
- T. Wollmershaeuser
- Steffen R. Henzel
- I. Christensen
- Alejandro Justiniano
- A. Dib
In Finance
- Ivan Tchakarov
- Selim Elekdag
- Eric Mayer
- T. Wollmershaeuser
- Steffen R. Henzel
- I. Christensen
- Alejandro Justiniano
- A. Dib
Citations in the corpus
- An Estimated Small Open Economy Model of the Financial Accelerator (2005, background): “2Related research includes Christiano, Motto, and Rostagno (2003); Meier and Muller (2006) ; and”
- The financial accelerator in an estimated New Keynesian model (2008, methodology): “These findings contrast with those reported by Meier and Müller (2006), who consider the role of the Bernanke et al. (1999)-style financial accelerator in the monetary transmission mechanism.”
- The Price Puzzle Revisited: Can the Cost Channel Explain a Rise in Inflation after a Monetary Policy Shock? (2009, methodology): “As in Rotemberg and Woodford (1998) and Christiano, Eichenbaum, and Evans (2005), we estimate the DSGE model by using a minimum distance approach, which comprises two steps.”
- The External Finance Premium and the Macroeconomy: Us Post-Wwii Evidence (2008, unknown): “The estimated value of the elasticity is somewhat higher than that of Meier and Müller (2006) and Christensen and Dib (2008).”