Uncertainty shocks, banking frictions and economic activity

被引：49
作者：
Bonciani, Dario [1 ]
van Roye, Bjorn [1 ]
机构：
[1] European Cent Bank, Frankfurt, Germany
来源：
JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2016年 / 73卷
关键词：
Uncertainty Shocks; Financial frictions; Stochastic Volatility; Perturbation Methods; Third-order approximation; DSGE MODEL; MONETARY-POLICY; DEMAND; CREDIT; IMPACT; RISK;
D O I：
10.1016/j.jedc.2016.09.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic Stochastic General Equilibrium (DSGE) model with het erogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from the stickiness in bank loan rates. This stickiness reduces the effectiveness in the transmission mechanism of monetary policy. (C) 2016 Elsevier B.V. All rights reserved.
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收藏
页码：200 / 219
页数：20
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