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Assessing macro-financial linkages: A model comparison exercise

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  • Gerke, R.
  • Jonsson, M.
  • Kliem, M.
  • Kolasa, M.
  • Lafourcade, P.
  • Locarno, A.
  • Makarski, K.
  • McAdam, P.

Abstract

The recent global financial crisis has increased interest in macroeconomic models that incorporate financial frictions. We illustrate the simulation properties of five medium-sized general equilibrium models used by central banks in the Eurosystem. The models include a financial accelerator mechanism (convex “spread” costs related to firms' leverage) and/or collateral constraints (based on asset values). We provide results from impulse responses to shocks originating in the financial sector as well as a monetary policy shock. Overall, the models share qualitatively similar and interpretable features. This gives us confidence that we have some common understanding of the mechanisms involved. Finally, we survey recent trends in the literature on financial frictions.

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Bibliographic Info

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 31 (2013)
Issue (Month): C ()
Pages: 253-264

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Handle: RePEc:eee:ecmode:v:31:y:2013:i:c:p:253-264

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Web page: http://www.elsevier.com/locate/inca/30411

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Keywords: Financial frictions; Credit constraints; Financial accelerator; Model comparison; Eurosystem central bank models;

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Cited by:
  1. Michał Rubaszek & Marcin Kolasa, 2013. "Forecasting with DSGE models with financial frictions," EcoMod2013 5100, EcoMod.
  2. Rossana Merola, 2013. "The role of financial frictions during the crisis: An estimated DSGE model," Working Paper Research 249, National Bank of Belgium.
  3. Kolasa, Marcin & Rubaszek, Michał, 2014. "Forecasting with DSGE models with financial frictions," Dynare Working Papers 40, CEPREMAP.
  4. Tony Hall & Jan Jacobs & Adrian Pagan, . "Macro-Econometric System Modelling @75," NCER Working Paper Series 95, National Centre for Econometric Research.

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