文章基本信息

标题：Financial factors in economic fluctuations
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作者：Lawrence Christiano ; Roberto Motto ; Massimo Rostagno 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2010
出版社：European Central Bank
摘要：We augment a standard monetary DSGE model to include a banking sector and 􀀟nancial markets. We 􀀟t the model to Euro Area and US data. We 􀀟nd that agency problems in 􀀟nancial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit 􀀟nancial intermediation — ‘􀀟nancial factors’ in short — are prime determinants of economic 􀀠uctuations. They have been critical triggers and propagators in the recent 􀀟nancial crisis. Financial intermediation turns an otherwise diversi􀀟able source of idiosyncratic economic uncertainty, the ‘risk shock’, into a systemic force.
关键词：DSGE model; Financial frictions; Financial shocks;Bayesian estimation; Lending channel; Funding channel