How Important are Financial Frictions in the United States and the Euro Area?
修改了DSGE金融加速器模型，加入价格指数化、粘性工资等摩擦，用贝叶斯方法估计美国和欧元区数据，发现金融摩擦在两地都重要，且在欧元区更大。
Abstract This paper aims to evaluate whether frictions in credit markets are important for business cycles in the United States and the euro area. I modify the DSGE financial accelerator model developed by Bernanke, Gertler and Gilchrist (1999) by adding such frictions as price indexation to past inflation, sticky wages, consumption habits and variable capital utilization. When estimating the model using Bayesian methods, I find that financial frictions are relevant in both areas. According to the posterior odds ratio, the data clearly favor the model with financial frictions, both in the United States and the euro area. Moreover, financial frictions are larger in the euro area.