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Financial frictions and the real economy

Pietrunti, Mario - 2017

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/10011976236

Assessing macro-financial linkages : a model comparison exercise

Gerke, Rafael; Jonsson, Magnus; Kliem, Martin; Kolasa, … - 2012

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/10009509093

Micro jumps, macro humps : monetary policy and business cycles in an estimated HANK model

Auclert, Adrien; Rognlie, Matthew; Straub, Ludwig - 2020

shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high … MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to … investment shocks, leading our model to infer a central role for these shocks as a source of business cycles. …

Persistent link: https://www.econbiz.de/10012154622

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

Financial frictions and regime switching : the role of collateral asset in emerging stock market

Awijen, Haithem; Hammami, Sami - 2017

This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...

Persistent link: https://www.econbiz.de/10011609272

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 cycles revisited

Urban, Jörg - 2020

Credit and business cycles play an important role in economic research, especially for central banks and supervisors. We reexamine a very useful dynamic model proposed by Kiyotaki and Moore (1997) of an economy with an endogenous credit limit. They claim that a small temporary shock generates...

Persistent link: https://www.econbiz.de/10012317250

Credit cycles revisited

Urban, Jörg - 2023

Credit and business cycles play an important role in economic research, especially for central banks and supervisors. We reexamine a dynamic model proposed by Kiyotaki and Moore (1997) of an economy with an endogenous credit limit. They claim that a small temporary shock generates large and...

Persistent link: https://www.econbiz.de/10014318679

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

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