This paper builds a dynamic stochastic general equilibrium (DSGE) model of endogenous growth that generates large medium-frequency cycles while robustly matching the near trend-stationary path of observed output. This requires a model in which standard business cycle shocks lead to highly...

This paper presents a fast, simple and intuitive algorithm for simulation of linear dynamic stochastic general equilibrium models with inequality constraints. The algorithm handles both the computation of impulse responses, and stochastic simulation, and can deal with arbitrarily many bounded...

The run-up to the Greek default featured marked increases in the cost of insuring sovereign debt from almost all European countries. One explanation is that market participants believed a default in one country might increase the risk of a future default in another, and so news about one country...

Occasionally binding constraints (OBCs) like the zero lower bound (ZLB) can lead to multiple equilibria, and so to belief-driven recessions. To aid in finding policies that avoid this, we derive existence and uniqueness conditions for otherwise linear models with OBCs. Our main result gives...

We present an algorithm for estimating non-linear dynamic models, including those featuring occasionally binding constraints. The algorithm extends the Cubature Kalman Filter of Arasaratnam and Haykin (2009) with dynamic state space reduction, to give adequate speed in the presence of...

This paper explores the theoretical channels by which financial crises might have an impact on long-run growth. By exploiting occasionally binding financial constraints, we produce a model that generates endogenous crisis episodes featuring permanent falls in productivity, without generating...

This paper examines the ability of the endogenous growth and medium frequency cycle model of Holden (2016) to explain global imbalances and the puzzles of open economy macroeconomics. The model features complete international financial markets, and intrinsically multi-national R&D, yet is still...

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...

We build a non-stationary Hawkes model of sovereign credit risk for seven European countries, and estimate it on CDS data from the run-up to the Greek default. We model a country's credit risk as partly driven by a weighted combination of risks across countries. We find Spain and Portugal are...