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Financial Factors in Economic Fluctuations

Open access
Christiano, Lawrence J., Motto, Roberto, Rostagno, Massimo·2010·SSRN Electronic Journal
DOI 10.2139/ssrn.1600166
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Abstract

We augment a standard monetary DSGE model to include financial markets, and fit the model to EA and US data. The empirical results draw attention to a new shock - a ‘risk shock’ to entrepreneurs - and to an important new nominal rigidity. The risk shock originates in the financial sector and accounts for a significant portion of business cycle fluctuations. We do a detailed study of the role of this shock in the boom-bust of the late 1990s and early 2000s. The new nominal friction corresponds to the fact that lending contracts are typically denominated in nominal terms. Consistent with Fisher (1933), we show that the distributional consequences of this nominal rigidity play an important role in the propagation of shocks. ∗ This paper expresses the views of the authors and not necessarily those of the European

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Metadata

Authors
Christiano, L. J., Motto, R., & Rostagno, M.
Venue
SSRN Electronic Journal
Publisher
Elsevier BV
Published
2010
ISSN
1556-5068 (ISSN-L)
DOI
10.2139/ssrn.1600166
OpenAlex
W2158517350
Cited by
687
References
0
Type
posted content
Language
en
Open access
green

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CoChat. (2026). Citation check: Financial Factors in Economic Fluctuations. https://app.cochat.ai/papers/10.2139/ssrn.1600166
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Christiano, L. J., Motto, R., & Rostagno, M. (2010). Financial Factors in Economic Fluctuations. SSRN Electronic Journal. https://doi.org/10.2139/ssrn.1600166

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