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

  • Sergei Ivashchenko

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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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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  1. M. Hashem Pesaran & TengTeng Xu, 2011. "Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults," CESifo Working Paper Series 3609, CESifo Group Munich.
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  3. Charles A. E. Goodhart & Carolina Osorio & Dimitrios P. Tsomocos, 2009. "Analysis of Monetary Policy and Financial Stability: A New Paradigm," CESifo Working Paper Series 2885, CESifo Group Munich.
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  6. Uhlig, Harald, 2007. "Monetary policy in Europe vs the US: what explains the difference?," MPRA Paper 14119, University Library of Munich, Germany.
  7. Riggi, Marianna & Tancioni, Massimiliano, 2010. "Nominal vs real wage rigidities in New Keynesian models with hiring costs: A Bayesian evaluation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1305-1324, July.
  8. Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999. "The financial accelerator in a quantitative business cycle framework," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393 Elsevier.
  9. Malin Adolfson & Jesper Linde & Mattias Villani, 2007. "Forecasting Performance of an Open Economy DSGE Model," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 289-328.
  10. 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.
  11. Sebastian Sienknecht, 2010. "Persistence Endogeneity Via Adjustment Costs: An Assessment based on Bayesian Estimations," Jena Economic Research Papers 2010-057, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
  12. Frank Smets & Raf Wouters, 2004. "Forecasting with a Bayesian DSGE Model: an application to the euro area," Working Paper Research 60, National Bank of Belgium.
  13. 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.
  14. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
  15. Arnab Bhattacharjee & Christoph Thoenissen, 2007. "Money And Monetary Policy In Dynamic Stochastic General Equilibrium Models," Manchester School, University of Manchester, vol. 75(s1), pages 88-122, 09.
  16. Eric Jondeau & Jean-Guillaume Sahuc, 2004. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Documents de recherche 04-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  17. Rubaszek, Michal & Skrzypczynski, Pawel, 2008. "On the forecasting performance of a small-scale DSGE model," International Journal of Forecasting, Elsevier, vol. 24(3), pages 498-512.
  18. Scott Roger & Jan Vlcek, 2011. "Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements," IMF Working Papers 11/103, International Monetary Fund.
  19. 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.
  20. Lombardo, Giovanni & Vestin, David, 2008. "Welfare implications of Calvo vs. Rotemberg-pricing assumptions," Economics Letters, Elsevier, vol. 100(2), pages 275-279, August.
  21. Rotemberg, Julio J, 1982. "Monopolistic Price Adjustment and Aggregate Output," Review of Economic Studies, Wiley Blackwell, vol. 49(4), pages 517-31, October.
  22. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and banking in a DSGE model of the euro area," Temi di discussione (Economic working papers) 740, Bank of Italy, Economic Research and International Relations Area.
  23. Blanchard, Olivier Jean & Kahn, Charles M, 1980. "The Solution of Linear Difference Models under Rational Expectations," Econometrica, Econometric Society, vol. 48(5), pages 1305-11, July.
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