DSGE model with financial frictions over subsets of business cycle frequencies

DOI10.1016/J.JEDC.2018.10.004MaRDI QIDQ1734540zbMATH OpenOpenAlexWikidataFDO

Authors Marco Gallegati, Federico Giri, Antonio Palestrini

Publication date 27 March 2019

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2018.10.004

zbMATH Keywords

Bayesian estimationbusiness cycle frequenciesDSGE modelfinancial frictionswavelet decomposition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Dynamic stochastic general equilibrium theory (91B51) Economic growth models (91B62) Actuarial science and mathematical finance (91G99)

Recommendations

• Taking financial frictions to the data
• The anatomy of standard DSGE models with financial frictions
• The external finance premium and the macroeconomy: US post-WWII evidence
• Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007)
• The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy

Cites work

• Frequency domain analysis of medium scale DSGE models with application to Smets and Wouters (2007)
• scientific article; zbMATH DE number 3842851 (Why is no real title available?)
• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• On the cyclicity of regional house prices: new evidence for U.S. metropolitan statistical areas
• Taking financial frictions to the data
• Ten Lectures on Wavelets

Cited in

(4)

• The implications of financial frictions and imperfect knowledge in the estimated DSGE model of the U.S. economy
• Taking financial frictions to the data
• The external finance premium and the macroeconomy: US post-WWII evidence
• The anatomy of standard DSGE models with financial frictions

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