Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/261171 
Year of Publication: 
2022
Series/Report no.: 
ECB Working Paper No. 2637
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism a la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the quarterly frequency, i.e. we document its inversion. That is because aggregating monthly data into quarterly leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.
Subjects: 
DSGE models
financial accelerator
Mixed-frequency data
JEL: 
C52
E32
E52
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-4970-5
Document Type: 
Working Paper

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