Dynamic stochastic general equilibrium model with banks and endogenous defaults of firms
AbstractA 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 InfoPaper 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.
Length: 48 pages
Date of creation: 25 Jan 2013
Date of revision:
DSGE; endogenous defaults of firms;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-BAN-2013-04-27 (Banking)
- NEP-BEC-2013-04-27 (Business Economics)
- NEP-CIS-2013-04-27 (Confederation of Independent States)
- NEP-DGE-2013-04-27 (Dynamic General Equilibrium)
- NEP-MAC-2013-04-27 (Macroeconomics)
- NEP-ORE-2013-04-27 (Operations Research)
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