What does structural analysis of the external finance premium say about financial frictions? / by Jelena Zivanovic. : FB3-5/2019-38E-PDF
"I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts counter cyclically to supply and monetary policy shocks and procyclically to demand shocks. I confront my empirical evidence with the predictions from financial dynamic stochastic general equilibrium (DSGE) models with respect to the finance premium in order to identify an empirically relevant financial friction. The Bernanke, Gertler and Gilchrist (1999) model generates transmission mechanisms that are favored by the data"--Abstract.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.879714&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | What does structural analysis of the external finance premium say about financial frictions? / by Jelena Zivanovic. |
| Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2019-38 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "September 2019." Includes bibliographical references (pages 23-25). Includes abstract in French. |
| Information sur la publication | Ottawa : Bank of Canada, 2019. ©2019 |
| Auteur / Contributeur | Zivanovic, Jelena, author. |
| Description | 1 online resource (ii, 27 pages) |
| Numéro de catalogue |
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| Descripteurs | Economic forecasting Markets |