DSGE model with financial frictions over subsets of business cycle frequencies

DOI10.1016/J.JEDC.2018.10.004zbMath1411.91375OpenAlexW2909094644WikidataQ128631527 ScholiaQ128631527MaRDI QIDQ1734540

Marco Gallegati, Federico Giri, Antonio Palestrini

Publication date: 27 March 2019

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.10.004

zbMATH Keywords

Bayesian estimationwavelet decompositionfinancial frictionsDSGE modelbusiness cycle frequencies

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic growth models (91B62) Dynamic stochastic general equilibrium theory (91B51) Actuarial science and mathematical finance (91G99)

Cites Work

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• Interest rate spreads and output: a time scale decomposition analysis using wavelets
• On the cyclicity of regional house prices: new evidence for U.S. metropolitan statistical areas
• Taking financial frictions to the data
• Ten Lectures on Wavelets
• Frequency Domain Analysis of Medium Scale DSGE Models with Application to Smets and Wouters (2007)

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