Showing 1 - 10 of 55
In this paper we explore the role of financial intermediation malfunction in macroeconomic fluctuations in Japan. To this end we estimate, using Japanese data, a financial accelerator model in which the balance sheet conditions of entrepreneurs in a goods-producing sector and those of a...
Persistent link: https://www.econbiz.de/10011160714
To explore the relative macroeconomic importance of financial intermediaries' (FIs’) net worth to that of non-financial firms (entrepreneurs), we extend the financial accelerator model of Bernanke, et al. (1999), such that both FIs’ and entrepreneurs rely on costly external debt. Our model,...
Persistent link: https://www.econbiz.de/10010772597
We evaluate the implications of spread-adjusted Taylor rules and capital injection policies in response to adverse shocks to the economy, using a variant of the financial accelerator model. Our model comprises the two credit-constrained sectors that raise external finance under credit market...
Persistent link: https://www.econbiz.de/10010839285
In this paper, we decompose oil price changes into their component parts following Kilian (2009) and estimate the dynamic effects of each component on industry-level production and prices in the U.S. and Japan using identified VAR models. The way oil price changes affect each industry depends on...
Persistent link: https://www.econbiz.de/10008548770
The quantitative significance of shocks to the financial intermediary (FI) has not received much attention up to now. We estimate a DSGE model with what we describe as chained credit contracts, using Bayesian technique. In the model, credit-constrained FIs intermediate funds from investors to...
Persistent link: https://www.econbiz.de/10009292923
The quantitative significance of shocks to the financial intermediary (FI) has not received much attention up to now. We estimate a DSGE model with what we describe as chained credit contracts, using Bayesian technique. In the model, credit-constrained FIs intermediate funds from investors to...
Persistent link: https://www.econbiz.de/10010573999
Persistent link: https://www.econbiz.de/10008581131
We evaluate the implications of spread-adjusted Taylor rules and capital injection policies in response to adverse shocks to the economy, using a variant of the financial accelerator model. Our model comprises the two credit-constrained sectors that raise external finance under the credit market...
Persistent link: https://www.econbiz.de/10008863935
In this paper, we study bank loan responses to monetary policy and bank capital shocks using Japan’s disaggregated data sorted by borrower firms’ size and industry. Employing a block recursive VAR, we demonstrate that bank loan responses exhibit large sectoral heterogeneity. Among a broad...
Persistent link: https://www.econbiz.de/10010674285
Persistent link: https://www.econbiz.de/10009804498