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Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem; Xu, TengTeng - Bank of Canada - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10010849962
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Business cycle effects of credit shocks in a DSGE model with firm defaults
Pesaran, M. Hashem; Xu, TengTeng - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10010319682
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Business cycle effects of credit shocks in a DSGE model with firm defaults
Pesaran, M. Hashem; Xu, TengTeng - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10009751689
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Heterogeneity and cross section dependence in panel data models : theory and applications ; introduction
Baltagi, Badi H.; Pesaran, M. Hashem - In: Journal of applied econometrics 22 (2007) 2, pp. 229-232
Persistent link: https://www.econbiz.de/10003455442
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A unified approach to estimation and orthogonality tests in linear single equation econometric models
Pesaran, M. Hashem; Smith, Richard J. - 1989
Persistent link: https://www.econbiz.de/10000127644
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Estimation of a simple class of multivariate rational expectations models : a test of the new classical model at a sectoral level
Pesaran, M. Hashem - 1989 - rev. version
Persistent link: https://www.econbiz.de/10000127652
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A simulation approach to the problem of computing cox's statistic for testing non-nested models
Pesaran, M. Hashem; Pesaran, Bahram - 1989
Persistent link: https://www.econbiz.de/10000130921
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Alternative approaches to testing non-nested models with autocorrelated disturbances : an application to models of US unemployment
McAleer, Michael; Pesaran, M. Hashem; Bera, Anil K. - 1990
Persistent link: https://www.econbiz.de/10000130928
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Estimating limited-dependent rational expectations models
Pesaran, M. Hashem; Samiei, Hossein - 1990
Persistent link: https://www.econbiz.de/10000130932
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Estimating long-run relationships from dynamic heterogeneous panels
Pesaran, M. Hashem; Smith, Ron - 1992
Persistent link: https://www.econbiz.de/10000137109