Discussion Papers no. 569
Evidence using a procedure of structural model design
The financial accelerator
We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between credit and asset prices creates a mechanism by which the effects of shocks persist and amplify. However, while innovations to asset prices and credit do cause short-run movements in production, and while real activity spurs credit, such innovations do not precede real economy movements in the long run. Hence, there obviously is a case for Modigliani-Miller in the long run.
Om publikasjonen
- Tittel
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The financial accelerator. Evidence using a procedure of structural model design
- Ansvarlige
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Roger Hammersland, Dag Henning Jacobsen
- Serie og -nummer
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Discussion Papers no. 569
- Utgiver
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Statistics Norway, Reseach Department
- Emne
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Discussion Papers
- Antall sider
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33
- Målform
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Engelsk
- Om Discussion Papers
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Discussion papers comprise research papers intended for international journals and books. A preprint of a Discussion Paper may be longer and more elaborate than a standard journal article as it may include intermediate calculations, background material etc.
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