Bayesian Evaluation of DSGE Models with Financial Frictions
评估了两种将金融摩擦引入DSGE模型的主流方法，通过数据拟合和脉冲响应比较，发现Bernanke-Gertler-Gilchrist框架优于Kiyotaki-Moore模型，但两者均未显著优于新凯恩斯基准模型。
We evaluate two most popular approaches to implementing financial frictions into DSGE models: the Bernanke, Gertler, and Gilchrist ( ) setup, where frictions affect the price of loans, and the Kiyotaki and Moore ( ) model, where they concern the quantity of loans. We take both models to the data and check how well they fit it on several margins. Overall, comparing the models favors the Bernanke, Gertler, and Gilchrist framework. However, even this model does not make a clear improvement over the New Keynesian benchmark in terms of marginal likelihood and similarity of impulse responses to those obtained from a VAR.