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Financial Frictions and the Real Economy

Pietrunti, Mario - 2021

This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks’ capital induces a relevant non-linearity. The model -...

Persistent link: https://www.econbiz.de/10013248861

Financial frictions and global spillovers

Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Persistent link: https://www.econbiz.de/10010493885

Asset pricing and the propagation of macroeconomic shocks

Jaccard, Ivan - 2018

This paper considers the implications of habit formation and financial frictions for the propagation of macroeconomic shocks. In a model that is capable of matching asset pricing moments, a short-lived shock that destroys a small fraction of the economy's stock of pledgeable collateral generates...

Persistent link: https://www.econbiz.de/10011856397

Credit market frictions and sudden stops

Imura, Yuko - 2014

-sector small open economy model wherein heterogeneous firms face collateralized credit constraints for investment loans. The model … borrowing constraints lead firms to reduce investment and production, which in turn results in some firms holding capital stock …

Persistent link: https://www.econbiz.de/10010426139

Credit crunches from occasionally binding bank borrowing constraints

Holden, Tom D.; Levine, Paul; Swarbrick, Jonathan M. - 2017

We present a model in which banks and other financial intermediaries face both occasionally binding borrowing constraints and costs of equity issuance. Near the steady state, these intermediaries can raise equity finance at no cost through retained earnings. However, even moderately large shocks...

Persistent link: https://www.econbiz.de/10011777841

Q, Investment, and the Financial Cycle

Verona, Fabio - 2019

The empirical performance of the Q theory of investment can be significantly improved by simultaneously considering the … with the Q theory. The results show that there is a positive, stable medium-to-long-run relationship between investment and … time- and the frequency-varying features of the investment-Q relationship. Using continuous wavelet tools, I assess the …

Persistent link: https://www.econbiz.de/10012901123

Assessing Macro-Financial Linkages : A Model Comparison Exercise

Gerke, Rafael - 2012

The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five medium-sized general equilibrium models used in eurosystem central banks which incorporate such linkages. The financial...

Persistent link: https://www.econbiz.de/10013108526

Assessing Macro-Financial Linkages : A Model Comparison Exercise

Gerke, Rafael - 2016

The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial...

Persistent link: https://www.econbiz.de/10012988828

Is a Stable Financial System Possible?

Turnbull, Shann - 2019

used to define the value of trade and investment contracts on a decentralized basis without a central bank. Contracts …

Persistent link: https://www.econbiz.de/10012894728

Is a Stable Financial System Possible?

Turnbull, Shann - 2018

used to define the value of trade and investment contracts on a decentralized basis without a central bank. Contracts …

Persistent link: https://www.econbiz.de/10012931273

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