Add to ORKGThe central variable of theories of \u85nancial frictions-the external \u85nance premium- is unobservable. This paper distils the external \u85nance premium from a DSGE model estimated on US macroeconomic data. Within the DSGE framework, movements in the premium can be given an interpretation in terms of shocks driving business cycles. A key result is that the estimate-based solely on non-\u85nancial macroeconomic data- picks up over 70 % of the dynamics of lower grade corporate bond spreads. The paper also identi\u85es a gain in \u85tting key macroeconomic aggregates by including \u85nancial frictions in the model and documents how shock transmission is a¤ected
This paper investigates the transmission of financial shocks across large economies. To quantify the...
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. S...
This dissertation investigates the role of financial markets as a driving force behind business cycl...
The central variable of theories of financial frictions -the external finance premium- is unobservab...
The central variable of theories of financial frictions--the external finance premium--is unobservab...
Embedded in canonical macroeconomic models is the assumption of frictionless fi-nancial markets, imp...
After the banking crises experienced by many countries in the 1990s and in 2008, financial market co...
We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structu...
This paper estimates a sticky-price DSGE model with a financial accelerator to assess the evidence f...
Recent economic events pose challenging questions for macroeconomists. The rising global imbalances ...
Financial frictions affect the way in which different macroeconomic series respond to a monetary pol...
The thesis examines the ability of DSGE models with financial elements to explain financial asset pr...
I study the evolution of aggregate volatility in the US during the postwar period by assessing the r...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
Several recent papers have found that exogenous shocks to lending spreads in cor-porate credit marke...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. S...
This dissertation investigates the role of financial markets as a driving force behind business cycl...
The central variable of theories of financial frictions -the external finance premium- is unobservab...
The central variable of theories of financial frictions--the external finance premium--is unobservab...
Embedded in canonical macroeconomic models is the assumption of frictionless fi-nancial markets, imp...
After the banking crises experienced by many countries in the 1990s and in 2008, financial market co...
We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structu...
This paper estimates a sticky-price DSGE model with a financial accelerator to assess the evidence f...
Recent economic events pose challenging questions for macroeconomists. The rising global imbalances ...
Financial frictions affect the way in which different macroeconomic series respond to a monetary pol...
The thesis examines the ability of DSGE models with financial elements to explain financial asset pr...
I study the evolution of aggregate volatility in the US during the postwar period by assessing the r...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
Several recent papers have found that exogenous shocks to lending spreads in cor-porate credit marke...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. S...
This dissertation investigates the role of financial markets as a driving force behind business cycl...