Gertler and Karadi combined financial intermediation and unconventional 'monetary policy' in a DSGE framework. We estimate their model with UK data using Bayesian techniques. To validate the fit of the estimatedDSGE model, we evaluate the model's empirical properties. Then, we analyse the transmission mechanism of the shocks, set to produce a downturn. Finally, we examine the empirical importance of nominal, real and financial frictions and of different shocks. We find that banking friction seems to play an important role in explaining the UK business cycle. Moreover, the banking sector shock seems to explain about half of the fall in real GDP in the recent crisis. A credit supply shock seems to account for most of the weakness in bank lending.

Financial Intermediaries in an estimated DSGE model for the UK

VILLA, STEFANIA;
2011-01-01

Abstract

Gertler and Karadi combined financial intermediation and unconventional 'monetary policy' in a DSGE framework. We estimate their model with UK data using Bayesian techniques. To validate the fit of the estimatedDSGE model, we evaluate the model's empirical properties. Then, we analyse the transmission mechanism of the shocks, set to produce a downturn. Finally, we examine the empirical importance of nominal, real and financial frictions and of different shocks. We find that banking friction seems to play an important role in explaining the UK business cycle. Moreover, the banking sector shock seems to explain about half of the fall in real GDP in the recent crisis. A credit supply shock seems to account for most of the weakness in bank lending.
2011
9781107014732
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11369/92751
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact