CMStatistics 2017: Start Registration
View Submission - CFE
A1473
Title: Financial frictions and business cycles: A wavelet analysis Authors:  Duarte Maia - University of Minho (Portugal) [presenting]
Abstract: Using the a model with financial frictions and wavelet analysis, we explore the time-frequency relationship between the credit standards and GDP, debt repurchase, equity payout, hours worked, wages, investment, capital and consumption. We find out that the credit standards have a negative impact on GDP, investment and consumption and a positive impact on debt repurchases, wages and capital. We also find that the model at overall capture the time-frequency features of the empirical time series when we make use of the Wavelet Coherency and Partial Wavelet Coherency.