Can financial frictions help explain the performance of the U.S. fed?

B.E. Journal of Macroeconomics

Volumn 9, Issue 1, 2009, Pages

  De Blas, Beatriz ^a  

^a UNIVERSIDAD AUTÓNOMA DE MADRID   (Spain)

Author keywords

Financial frictions; Great moderation; Limited participation; Monetary policy rules

Indexed keywords

EID: 68149103129     PISSN: None     EISSN: 19351690     Source Type: Journal    
DOI: 10.2202/1935-1690.1531     Document Type: Article

References (42)

1. Adam, K. 2008. "Monetary Policy and the Great Moderation," mimeo.
2. Ahmed, S., A. Levin, and B.A. Wilson. 2004. "Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?," Review of Economics and Statistics, 86(3): 824-832.
3. Andrews, D.W.K. 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica 61(4): 821-856.
4. Andrews, D.W.K., and R.C. Fair. 1988. "Inference in Nonlinear Econometric Models with Structural change," Review of Economic Studies, 55(4): 615-639.
5. Bekaert, G., C.R. Harvey, and C. Lundblad. 2006. "Growth Volatility and Financial Liberalization," Journal of International Money and Finance, 25(3): 370-403.
6. Bernanke, B., M. Gertler, and S. Gilchrist. 2000. "The Financial Accelerator in a Quantitative Business Cycle Framework." In Handbook of Macroeconomics, ed. John B. Taylor and Michael Woodford: North-Holland, vol. 1C: 1341-1393.
7. Boivin, J. and M.P. Giannoni. 2006. "Has Monetary Policy Become more Effective?," Review of Economics and Statistics, 88(3): 445-462.
8. Campbell, J.R., and Z. Hercowitz. 2006. "The role of collateralized Household Debt in Macroeconomic Stabilization," mimeo.
9. Canova, F. and L. Gambetti. 2008. "Do Expectations Matter? The Great Moderation Revisited," mimeo.
10. Carlstrom, C., and T. Fuerst. 1997. "Agency Costs, Net Worth and Business Fluctuations: A Computable General Equilibrium Analysis," American Economic Review, 87(5): 893-910.
11. Christiano, L. 1991. "Modeling the Liquidity Effect of a Money Shock," Federal Reserve Bank of Minneapolis Quarterly Review 15(1): 3-34.
12. Christiano, L., M. Eichenbaum, and C. Evans. 1997. "Sticky Price and Limited Participation Models. A Comparison," European Economic Review, 41(6): 1201-1249.
13. Christiano, L., C. Gust. 1999. "Taylor Rules in a Limited Participation Model," NBER Working Paper, 7017.
14. Christiano, L., R. Motto, and M. Rostagno. 2003. "The Great Depression and the Friedman-Schwartz Hypothesis," Journal of Money, Credit, and Banking, 35(6): 1119-1197.
15. Clarida, R., J. Galí, and M. Gertler. 2000. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," Quarterly Journal of Economics, 115(1): 147-180.
16. de Blas, B. 2009. "Performance of Interest Rate Rules under Credit Market Imperfections," Economic Modelling, 26(3): 586-596.
17. Doyle, B.M., and J. Faust. 2005. "Breaks in the Variability and Comovement of G-7 Economic Growth," Review of Economics and Statistics, 87(4): 721-740.
18. Fisher, J. 1999. "Credit Market Imperfections and the Heterogeneous Response of Firms to Monetary Shocks," Journal of Money, Credit and Banking, 31(2): 187-211
19. Fuerst, T. S. 1992. "Liquidity, Loanable Funds, and Real Activity," Journal of Monetary Economics, 29(1): 3-24.
20. Fuerst, T. S. 1995. "Monetary and Financial Interactions in the Business Cycle," Journal of Money, Credit, and Banking, 27(4), part 2: 1321-1338.
21. Gale, D., and M. Hellwig. 1985. "Incentive-Compatible Debt Contracts I: The One-Period Problem," Review of Economic Studies, 52(4): 647-663.
22. Galí, J., J.D. López-Salido, and J. Vallés. 2003. "Technology Shocks and Monetary Policy: Assessing the Fed's Performance," Journal of Monetary Economics, 50(4): 723-743.
23. Gertler, M. 1995. "Comment on Monetary and Financial Interactions in the Business Cycle," Journal of Money, Credit, and Banking, 27(4), part 2: 1342-1353.
24. Gertler, M. and S. Gilchrist. 1993. "The Role of Credit Market Imperfections in the Monetary Transmission Mechanism: Arguments and Evidence," Scandinavian Journal of Economics, 95(1): 43-64.
25. Hamilton, J.D. 1994. Time Series Analysis. Princeton University Press, Princeton.
26. Ireland, P.N. 2001. "Sticky-price Models of the Business Cycle: Specification and Stability," Journal of Monetary Economics, 47(1): 3-18.
27. Ireland, P.N. 2004. "Technology Shocks in the New Keynesian Model," Review of Economics and Statistics, 86(4): 923-936.
28. Jermann, U., and V. Quadrini. 2007. "Financial Innovations and Macroeconomic Volatility," mimeo.
29. Justiniano, A. and G.E. Primiceri. 2008. "The Time Varying Volatility of Macroeconomic Fluctuations," American Economic Review, 98(3): 604-641.
30. Kahn, J., M.M. McConnell, and G. Pérez-Quirós. 2001. "The Reduced Volatility of the U.S. Economy: Policy or Progress?," mimeo.
31. Kiyotaki, N., and J. Moore. 1997. "Credit Cycles," Journal of Political Economy, 105(2): 211-248.
32. Leduc, S., and K. Sill. 2007. "Monetary Policy, Oil Shocks, and TFP: Accounting for the Decline in US Volatility," Review of Economic Dynamics, 10(4): 595-614.
33. Lubik, T.A., and F. Schorfheide. 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, 94(1): 190-217.
34. Lucas, R. E. Jr. 1990. "Liquidity and Interest Rates," Journal of Economic Theory, 50(2): 237-264.
35. McConnell, M. M., and G. Pérez-Quirós. 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980s?," American Economic Review, 90(5): 1464-1476.
36. Perri, F., and V. Quadrini. 2008. "Understanding the International Great Moderation," mimeo.
37. Rotemberg, J.J., and M. Woodford. 1998. "An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy: Expanded Version," NBER Technical Working Paper 233.
38. Sims, C. 1999. "Drift and Breaks in Monetary Policy," mimeo.
39. Stock, J.H., and M.W. Watson. 2002. "Has the Business Cycle changed and Why?," The NBER Macroeconomics Annual: 160-218.
40. Taylor, J. B. 1993. "Discretion versus Policy Rules in Practice," CarnegieRochester Conferences Series on Public Policy, 39(1): 195-214.
41. Taylor, J.B. 1999. Monetary Policy Rules, NBER Conference Report Series, University of Chicago Press.
42. Townsend, R. M. 1979. "Optimal Contracts and Competitive Markets with Costly State Verification," Journal of Economic Theory, 21(2): 265-293.