English, Article, Journal or magazine article edition: The Financial Accelerator: Evidence using a procedure of Structural Model Design Roger Hammersland and Dag Henning Jacobsen

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Bookmark: http://trove.nla.gov.au/version/53390
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Financial Accelerator: Evidence using a procedure of Structural Model Design
Author
  • Roger Hammersland and Dag Henning Jacobsen
Physical Description
  • preprint
Notes
  • 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.
  • Financial variables and the real economy; The Financial Accelerator; Business fluctuations; Structural vector Error Correction modeling; Identification; Cointegration.
  • RePEc:ssb:dispap:569
Language
  • English
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