Financial Frictions In Data

Author : Marzie Taheri Sanjani
Publisher : International Monetary Fund
ISBN 13 : 1498349366
Total Pages : 33 pages
Book Rating : 4.69/5 ( download)

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Download or read book Financial Frictions in Data written by Marzie Taheri Sanjani and published by International Monetary Fund. This book was released on 2014-12-24 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks.

Author : Econometric Society. World Congress
Publisher : Cambridge University Press
ISBN 13 : 1107016045
Total Pages : 511 pages
Book Rating : 4.40/5 ( download)

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Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first volume of edited papers from the Tenth World Congress of the Econometric Society 2010.

Author : Marzie Taheri Sanjani
Publisher : International Monetary Fund
ISBN 13 : 1498347797
Total Pages : 33 pages
Book Rating : 4.92/5 ( download)

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Download or read book Financial Frictions and Sources of Business Cycle written by Marzie Taheri Sanjani and published by International Monetary Fund. This book was released on 2014-10-23 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US post-war macroeconomic data well, and shows that financial shocks play a greater role in explaining the volatility of macroeconomic variables than marginal efficiency of investment (MEI) shocks.

Author : Francesco Furlanetto
Publisher : International Monetary Fund
ISBN 13 : 1498331157
Total Pages : 44 pages
Book Rating : 4.59/5 ( download)

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Download or read book Output Gap in Presence of Financial Frictions and Monetary Policy Trade-offs written by Francesco Furlanetto and published by International Monetary Fund. This book was released on 2014-07-18 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis illustrates that financial frictions are a significant source of volatility in the economy. This paper investigates monetary policy stabilization in an environment where financial frictions are a relevant source of macroeconomic fluctuation. We derive a measure of output gap that accounts for frictions in financial market. Furthermore we illustrate that, in the presence of financial frictions, a benevolent central bank faces a substantial trade-off between nominal and real stabilization; optimal monetary policy significantly reduces fluctuations in price and wage inflations but fails to alleviate the output gap volatility. This suggests a role for macroprudential policies.

Author : Mr.Stijn Claessens
Publisher : International Monetary Fund
ISBN 13 : 1455209317
Total Pages : 47 pages
Book Rating : 4.16/5 ( download)

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Download or read book Financial Frictions, Investment, and Institutions written by Mr.Stijn Claessens and published by International Monetary Fund. This book was released on 2010-10-01 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial frictions have been identified as key factors affecting economic fluctuations and growth. But, can institutional reforms reduce financial frictions? Based on a canonical investment model, we consider two potential channels: (i) financial transaction costs at the firm level; and (ii) required return at the country level. We empirically investigate the effects of institutions on these financial frictions using a panel of 75,000 firm-years across 48 countries for the period 1990 - 2007. We find that improved corporate governance (e.g., less informational problems) and enhanced contractual enforcement reduce financial frictions, while stronger creditor rights (e.g., lower collateral constraints) are less important.

Author : Katharine G. Abraham
Publisher : University of Chicago Press
ISBN 13 : 022680125X
Total Pages : 502 pages
Book Rating : 4.54/5 ( download)

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Download or read book Big Data for Twenty-First-Century Economic Statistics written by Katharine G. Abraham and published by University of Chicago Press. This book was released on 2022-03-11 with total page 502 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction.Big data for twenty-first-century economic statistics: the future is now /Katharine G. Abraham, Ron S. Jarmin, Brian C. Moyer, and Matthew D. Shapiro --Toward comprehensive use of big data in economic statistics.Reengineering key national economic indicators /Gabriel Ehrlich, John Haltiwanger, Ron S. Jarmin, David Johnson, and Matthew D. Shapiro ;Big data in the US consumer price index: experiences and plans /Crystal G. Konny, Brendan K. Williams, and David M. Friedman ;Improving retail trade data products using alternative data sources /Rebecca J. Hutchinson ;From transaction data to economic statistics: constructing real-time, high-frequency, geographic measures of consumer spending /Aditya Aladangady, Shifrah Aron-Dine, Wendy Dunn, Laura Feiveson, Paul Lengermann, and Claudia Sahm ;Improving the accuracy of economic measurement with multiple data sources: the case of payroll employment data /Tomaz Cajner, Leland D. Crane, Ryan A. Decker, Adrian Hamins-Puertolas, and Christopher Kurz --Uses of big data for classification.Transforming naturally occurring text data into economic statistics: the case of online job vacancy postings /Arthur Turrell, Bradley Speigner, Jyldyz Djumalieva, David Copple, and James Thurgood ;Automating response evaluation for franchising questions on the 2017 economic census /Joseph Staudt, Yifang Wei, Lisa Singh, Shawn Klimek, J. Bradford Jensen, and Andrew Baer ;Using public data to generate industrial classification codes /John Cuffe, Sudip Bhattacharjee, Ugochukwu Etudo, Justin C. Smith, Nevada Basdeo, Nathaniel Burbank, and Shawn R. Roberts --Uses of big data for sectoral measurement.Nowcasting the local economy: using Yelp data to measure economic activity /Edward L. Glaeser, Hyunjin Kim, and Michael Luca ;Unit values for import and export price indexes: a proof of concept /Don A. Fast and Susan E. Fleck ;Quantifying productivity growth in the delivery of important episodes of care within the Medicare program using insurance claims and administrative data /John A. Romley, Abe Dunn, Dana Goldman, and Neeraj Sood ;Valuing housing services in the era of big data: a user cost approach leveraging Zillow microdata /Marina Gindelsky, Jeremy G. Moulton, and Scott A. Wentland --Methodological challenges and advances.Off to the races: a comparison of machine learning and alternative data for predicting economic indicators /Jeffrey C. Chen, Abe Dunn, Kyle Hood, Alexander Driessen, and Andrea Batch ;A machine learning analysis of seasonal and cyclical sales in weekly scanner data /Rishab Guha and Serena Ng ;Estimating the benefits of new products /W. Erwin Diewert and Robert C. Feenstra.

Author : Ambrogio Cesa-Bianchi
Publisher : International Monetary Fund
ISBN 13 : 1484324013
Total Pages : 45 pages
Book Rating : 4.11/5 ( download)

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Download or read book Uncertainty, Financial Frictions and Nominal Rigidities: A Quantitative Investigation written by Ambrogio Cesa-Bianchi and published by International Monetary Fund. This book was released on 2017-09-29 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are uncertainty shocks a major source of business cycle fluctuations? This paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity (macro uncertainty) and to the dispersion of entrepreneurs' idiosyncratic productivity (micro uncertainty) in a financial accelerator DSGE model with sticky prices. It explores the different mechanisms through which uncertainty shocks are propagated and amplified. The time series properties of macro and micro uncertainty are estimated using U.S. aggregate and firm-level data, respectively. While surprise increases in micro uncertainty have a larger impact on output than macro uncertainty, these account for a small (non-trivial) share of output volatility.

Author : Ambrogio Cesa-Bianchi
Publisher : International Monetary Fund
ISBN 13 : 1484320727
Total Pages : 45 pages
Book Rating : 4.23/5 ( download)

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Download or read book Uncertainty, Financial Frictions and Nominal Rigidities: A Quantitative Investigation written by Ambrogio Cesa-Bianchi and published by International Monetary Fund. This book was released on 2017-09-29 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are uncertainty shocks a major source of business cycle fluctuations? This paper studies the effect of a mean preserving shock to the variance of aggregate total factor productivity (macro uncertainty) and to the dispersion of entrepreneurs' idiosyncratic productivity (micro uncertainty) in a financial accelerator DSGE model with sticky prices. It explores the different mechanisms through which uncertainty shocks are propagated and amplified. The time series properties of macro and micro uncertainty are estimated using U.S. aggregate and firm-level data, respectively. While surprise increases in micro uncertainty have a larger impact on output than macro uncertainty, these account for a small (non-trivial) share of output volatility.

Author : Mr.Sonali Das
Publisher : International Monetary Fund
ISBN 13 : 1484303989
Total Pages : 32 pages
Book Rating : 4.86/5 ( download)

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Download or read book Financial Frictions, Underinvestment, and Investment Composition written by Mr.Sonali Das and published by International Monetary Fund. This book was released on 2017-06-15 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies private investment in India against the backdrop of a significant investment decline over the past decade. We analyze the potential causes of weaker investment at the firm level, using both firm-level financial statements and a novel dataset on firms’ investment project decisions, and find that financial frictions have played a role in the slowdown. Firms with higher financial leverage invest less, as do firms with lower earnings relative to their interest expenses. Consistent with the notion of credit constraints leading to pro-cyclical investment, we also find that firms with higher leverage are (i) less likely to undertake new investment projects, (ii) less likely to complete investment projects once begun, and (iii) undertake shorter-term investment projects.

Author : Jaime Guajardo
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.07/5 ( download)

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Download or read book Financial Frictions and Business Cycles in Middle-Income Countries written by Jaime Guajardo and published by International Monetary Fund. This book was released on 2008 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: A standard DSGE small open economy model can not generate the cyclical regularities of middle-income countries. It predicts excessive consumption smoothing, and procyclical, instead of countercyclical, real net exports. Previous studies have solved this problem by increasing the shocks’ persistence or by lowering the intertemporal elasticity of substitution. This paper tackles the problem by introducing market imperfections relevant for MICs into an otherwise standard model. More specifically, I build a model with limited access to the foreign capital market, identified as an external borrowing constraint, and asymmetric financing opportunities across nontradable and tradable sectors, identified as a sector-specific labor financing wedge. The key parameters associated to these frictions are deduced to replicate selected data for Chile between 1986 and 2004. I find that both frictions are necessary to replicate the cyclical regularities of middle-income countries as they help the model reproduce different features of the data: The external borrowing constraint makes investment and consumption of tradable goods more procyclical and volatile, and makes real net exports countercyclical, while the sector-specific labor financing wedge makes the model reproduce the cyclical moments of work hours and consumption of non tradable goods.