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标题：Financial frictions in the euro area: a Bayesian assessment
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作者：Stefania Villa
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：2013
出版社：European Central Bank
摘要：This paper compares from a Bayesian perspective three dynamic stochastic general equi- librium models in order to analyse whether nancial frictions are empirically relevant in the Euro Area (EA) and, if so, which type of nancial frictions is preferred by the data. The models are: (i) Smets and Wouters (2007) (SW); (ii) a SW model with nan- cial frictions originating in non-nancial rms à la Bernanke et al. (1999), (SWBGG); and (iii) a SW model with nancial frictions originating in nancial intermediaries, à la Gertler and Karadi (2011), (SWGK). The comparison between the three estimated mod- els is made along dierent dimensions: (i) the Bayes factor; (ii) business cycle moments; and (iii) impulse response functions. The analysis of the Bayes factor and of simulated moments provides evidence in favour of the SWGK model. This paper also nds that the SWGK model outperforms the SWBGG model in forecasting EA inationary pressures in a Phillips curve specication
关键词：Financial frictions; DSGE models; Bayesian estimation.