What does structural analysis of the external finance premium say about financial frictions? / by Jelena Zivanovic.: FB3-5/2019-38E-PDF
"I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts counter cyclically to supply and monetary policy shocks and procyclically to demand shocks. I confront my empirical evidence with the predictions from financial dynamic stochastic general equilibrium (DSGE) models with respect to the finance premium in order to identify an empirically relevant financial friction. The Bernanke, Gertler and Gilchrist (1999) model generates transmission mechanisms that are favored by the data"--Abstract.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | What does structural analysis of the external finance premium say about financial frictions? / by Jelena Zivanovic. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2019-38 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "September 2019." Includes bibliographical references (pages 23-25). Includes abstract in French. |
| Publishing information | Ottawa : Bank of Canada, 2019. ©2019 |
| Author / Contributor | Zivanovic, Jelena, author. |
| Description | 1 online resource (ii, 27 pages) |
| Catalogue number |
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| Subject terms | Economic forecasting Markets |