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Dynamic stochastic general equilibrium model with banks and endogenous defaults of firms

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  • Sergei Ivashchenko

Abstract

A dynamic stochastic general equilibrium (DSGE) model with endogenous defaults of firms is developed. Proposed mechanism of defaults is very flexible. It takes into account amount of assets owned by firms. It suggests that banks receive some payment from firm after default. The model is estimated for USA and for Russia.

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Bibliographic Info

Paper provided by European University at St. Petersburg, Department of Economics in its series EUSP Deparment of Economics Working Paper Series with number Ec-02/13.

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Length: 48 pages
Date of creation: 25 Jan 2013
Date of revision:
Handle: RePEc:eus:wpaper:ec0213

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Keywords: DSGE; endogenous defaults of firms;

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Cited by:
  1. Sergey Ivashchenko, 2014. "Forecasting In a Non-Linear DSGE Model," EUSP Deparment of Economics Working Paper Series Ec-02/14, European University at St. Petersburg, Department of Economics.

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