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Financial Frictions and Shocks in an Estimated Small Open Economy DSGE Model

Doojav, Gan-Ochir; Kalirajan, Kaliappa


This paper examines the importance of financial frictions and shocks for macroeconomic fluctuations using an estimated small open economy DSGE model. In doing so, a small open economy DSGE model with unemployment, financial frictions and financial shocks is developed. To quantify effects, the model is estimated using Bayesian methods on Australian and the United States (US) data. The main results are (i) the presence of financial accelerator improves the model fit, and (ii) financial shocks...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
Source: Journal of Quantitative Economics
DOI: 10.1007/s40953-019-00179-7


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