Abstract

http://ssrn.com/abstract=2026956
 
 

Citations (1)



 


 



Financial Intermediaries in an Estimated DSGE Model for the United Kingdom


Stefania Villa


KU Leuven - Faculty of Business and Economics (FBE); University of Foggia

Jing Yang


Bank of England

July 13, 2011

Bank of England Working Paper No. 431

Abstract:     
Gertler and Karadi combined financial intermediation and credit policy in a DSGE framework. We estimate their model with UK data using Bayesian techniques. To validate the fit, we evaluate the model’s empirical properties. Then we analyse the transmission mechanism of the shocks, set to produce a downturn. Finally, we examine the empirical importance of nominal, real and financial frictions and of different shocks. We find that banking friction seems to play an important role in explaining the UK business cycle. Moreover, the banking sector shock seems to explain about half of the fall in real GDP in the recent crisis. A credit supply shock seems to account for most of the weakness in bank lending.

Number of Pages in PDF File: 32

Keywords: Financial friction, DSGE, Bayesian estimation

JEL Classification: C11, E44

working papers series


Download This Paper

Date posted: March 23, 2012  

Suggested Citation

Villa, Stefania and Yang, Jing, Financial Intermediaries in an Estimated DSGE Model for the United Kingdom (July 13, 2011). Bank of England Working Paper No. 431. Available at SSRN: http://ssrn.com/abstract=2026956 or http://dx.doi.org/10.2139/ssrn.2026956

Contact Information

Stefania Villa
KU Leuven - Faculty of Business and Economics (FBE) ( email )
Naamsestraat 69
Leuven, B-3000
Belgium
University of Foggia
Largo Papa Giovanni Paolo
Foggia, 71100
Italy
Jing Yang (Contact Author)
Bank of England ( email )
Threadneedle Street
London, EC2R 8AH
United Kingdom
Feedback to SSRN


Paper statistics
Abstract Views: 448
Downloads: 66
Download Rank: 203,304
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.422 seconds