The financial accelerator mechanism: does frequency matter?
نویسندگان
چکیده
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). find that can work very differently at monthly frequency compared quarterly frequency; is, we document its inversion. That is because aggregating into leads large biases in estimated parameters and, as consequence, deep change transmission of shocks.
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ژورنال
عنوان ژورنال: Working paper
سال: 2022
ISSN: ['2381-6287']
DOI: https://doi.org/10.26509/frbc-wp-202229