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Taheri Sanjani, Marzie.

Financial Frictions in Data Evidence and Impact / Marzie Taheri Sanjani. [electronic resource] : Marzie Taheri Sanjani. - Washington, D.C. : International Monetary Fund, 2014. - 1 online resource (33 p.) - IMF Working Papers; Working Paper ; No. 14/238 . - IMF Working Papers; Working Paper ; No. 14/238 .

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.

ISBN: 1484336550 : 18.00 USD

ISSN: 1018-5941

Standard No.: 10.5089/9781484336557.001 doi

Subjects--Topical Terms:
Bayesian Analysis
Bayesian Var
Credit Spread
Default Risk
Default
DSGE

Subjects--Geographic Terms:
United States