English, Article, Journal or magazine article edition: The External Finance Premium and the Macroeconomy: US post-WWII Evidence F. DEGRAEVE

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The External Finance Premium and the Macroeconomy: US post-WWII Evidence
Author
  • F. DEGRAEVE
Physical Description
  • preprint
Notes
  • The central variable of theories of financial frictions -the external finance premium- is unobservable. This paper distils the external .finance premium from a DSGE model estimated on US macroeconomic data. Within the DSGE framework, movements in the premium can be given an interpretation in terms of shocks driving business cycles. A key result is that the estimate -based solely on non-.financial macroeconomic data- picks up over 70% of the dynamics of lower grade corporate bond spreads. The paper also identifies a gain in .fitting key macroeconomic aggregates by including .financial frictions in the model and documents how shock transmission is affected.
  • external finance premium, financial frictions, DSGE, Bayesian estimation
  • RePEc:rug:rugwps:07/​482
Language
  • English
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