Fleshing out the Monetary Transmission Mechanism: Output Composition and the Role of Financial Frictions
在中等规模DSGE模型中嵌入金融加速器，利用沃尔克-格林斯潘时期的脉冲响应进行最小距离估计，发现金融摩擦对模型描述能力的贡献较小。
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.