Working Paper
The financial accelerator mechanism: does frequency matter?
Abstract: We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism à la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to quarterly frequency; that is, we document its inversion. That is because aggregating monthly data into quarterly data leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.
Keywords: DSGE models; financial accelerator; mixed-frequency data;
JEL Classification: C52; E32; E52;
https://doi.org/10.26509/frbc-wp-202229
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https://doi.org/10.26509/frbc-wp-202229
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers
Publication Date: 2022-11-07
Number: 22-29