Add to ORKGThe central variable of theories of financial frictions -the external finance premium- is unobservable. This paper distils the external .finance 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-.financial macroeconomic data- picks up over 70% of the dynamics of lower grade corporate bond spreads. The paper also identifies a gain in .fitting key macroeconomic aggregates by including .financial frictions in the model and documents how shock transmission is affected.external finance premium, financial frictions, DSGE, Bayesian estimation
In this thesis, I assess the propagation power of financial rigidities, related to firm and bank fin...
Financial frictions affect the way in which different macroeconomic series respond to a monetary pol...
We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structu...
The central variable of theories of \u85nancial frictions-the external \u85nance premium- is unobser...
The central variable of theories of financial frictions--the external finance premium--is unobservab...
This paper embeds the \u85nancial accelerator into a medium-scale DSGE model and esti-mates it using...
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...
The recent global financial crisis and the Eurozone sovereign default have rekindled the debate on t...
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 estimates a sticky-price DSGE model with a financial accelerator to assess the evidence f...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
I study the evolution of aggregate volatility in the US during the postwar period by assessing the r...
In this thesis, I assess the propagation power of financial rigidities, related to firm and bank fin...
Financial frictions affect the way in which different macroeconomic series respond to a monetary pol...
We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structu...
The central variable of theories of \u85nancial frictions-the external \u85nance premium- is unobser...
The central variable of theories of financial frictions--the external finance premium--is unobservab...
This paper embeds the \u85nancial accelerator into a medium-scale DSGE model and esti-mates it using...
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...
The recent global financial crisis and the Eurozone sovereign default have rekindled the debate on t...
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 estimates a sticky-price DSGE model with a financial accelerator to assess the evidence f...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
This paper investigates the transmission of financial shocks across large economies. To quantify the...
I study the evolution of aggregate volatility in the US during the postwar period by assessing the r...
In this thesis, I assess the propagation power of financial rigidities, related to firm and bank fin...
Financial frictions affect the way in which different macroeconomic series respond to a monetary pol...
We apply a general-to-specific modelling approach to estimate a six-dimensional parsimonious structu...