Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/192551 
Year of Publication: 
2008
Series/Report no.: 
Discussion Papers No. 569
Publisher: 
Statistics Norway, Research Department, Oslo
Abstract: 
We find empirical evidence of a financial accelerator using a data based procedure of Structural Model Design. Credit to firms, asset prices and aggregate economic activity interact over the business cycle in our empirical model of a dynamic economy. Furthermore, the interdependence between credit and asset prices creates a mechanism by which the effects of shocks persist and amplify. However, while innovations to asset prices and credit do cause short-run movements in production, and while real activity spurs credit, such innovations do not precede real economy movements in the long run. Hence, there obviously is a case for Modigliani-Miller in the long run.
Subjects: 
Financial variables and the real economy
The Financial Accelerator
Business fluctuations
Structural vector Error Correction modeling
Identification
Cointegration.
JEL: 
C30
C32
C50
C51
C53
E44
E51
Document Type: 
Working Paper

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