The financial accelerator mechanism: does frequency matter?-Reference-Cited by-同舟云学术

The financial accelerator mechanism: does frequency matter?

Published:2022-11-07 Issue: Volume: Page:
ISSN:2573-7953
Container-title:Working paper (Federal Reserve Bank of Cleveland)
language:
Short-container-title:

Author:

Foroni Claudia¹,Gelain Paolo²^ORCID,Marcellino Massimiliano³

Affiliation:

1. European Central Bank

2. Federal Reserve Bank of Cleveland

3. Bocconi University

Abstract

We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism à la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to quarterly frequency; that is, we document its inversion. That is because aggregating monthly data into quarterly data leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.

Publisher

Federal Reserve Bank of Cleveland

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