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首页> 外文期刊>The North American journal of economics and finance >Financial intermediation and real estate prices impact on business cycles: A Bayesian analysis
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Financial intermediation and real estate prices impact on business cycles: A Bayesian analysis

机译：金融中介和房地产价格对商业周期的影响：贝叶斯分析

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How do financial intermediation and real estate prices impinge on the business cycle? I develop a two-sector stochastic general equilibrium model with financial intermediation and real estate collateral to assess the impact of financial conditions and land prices on aggregate fluctuations. I estimate the model with Bayesian methods using a novel data set that includes U.S. macro and financial variables during the period 1975–2010. The results from the estimated model show that financial conditions have a sizable effect on the variability of investment spending, while productivity shocks are the main source of consumption fluctuations. Specifically, on the macro side, (1) financial shocks explain about three quarters of investment spending variability and one third of the variance in hours worked. On the financial side, (2) financial shocks explain most of the variability in land prices, credit spread, and aggregate net worth of the financial sector. The model also accounts for observed unconditional moments of macro and financial variables. Our quantitative results are suggestive of the impact of diverse sources of financial instability, and as such relevant for macro prudential policy analysis.
机译：金融中介和房地产价格如何影响商业周期？我开发了一种具有金融中介和房地产抵押品的两部门随机一般均衡模型，以评估金融状况和土地价格对总体波动的影响。我使用贝叶斯方法对模型进行了估算，该模型使用了一个新的数据集，其中包括1975-2010年期间的美国宏观和金融变量。估计模型的结果表明，财务状况对投资支出的可变性有相当大的影响，而生产力冲击是消费波动的主要来源。具体而言，在宏观方面，（1）金融冲击可解释约四分之三的投资支出差异和三分之一的工作小时数差异。在金融方面，（2）金融冲击解释了土地价格，信贷息差和金融部门总净值的大部分可变性。该模型还考虑了观察到的宏观和金融变量的无条件矩。我们的定量结果表明，各种金融动荡来源的影响，因此与宏观审慎政策分析有关。

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