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Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms

  • Ivashchenko, S.

    (St. Petersburg Institute for Economics and Mathematics RAS, St. Petersburg, Russia)

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

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File URL: http://www.econorus.org/repec/journl/2013-19-27-50r.pdf
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Article provided by New Economic Association in its journal Journal of the New Economic Association.

Volume (Year): 19 (2013)
Issue (Month): 3 ()
Pages: 27-50

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Handle: RePEc:nea:journl:y:2013:i:19:p:27-50
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  15. B. Leyman & K. Schoors, 2008. "Bank Debt Restructuring under Belgian Court-Supervised Reorganization," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 08/508, Ghent University, Faculty of Economics and Business Administration.
  16. Scott Roger & Jan Vlcek, 2011. "Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements," IMF Working Papers 11/103, International Monetary Fund.
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  18. Adjemian, Stéphane & Bastani, Houtan & Karamé, Fréderic & Juillard, Michel & Maih, Junior & Mihoubi, Ferhat & Perendia, George & Pfeifer, Johannes & Ratto, Marco & Villemot, Sébastien, 2011. "Dynare: Reference Manual Version 4," Dynare Working Papers 1, CEPREMAP, revised Jul 2014.
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  21. Gertler, Mark & Kiyotaki, Nobuhiro, 2010. "Financial Intermediation and Credit Policy in Business Cycle Analysis," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 11, pages 547-599 Elsevier.
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