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

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  • Sergey 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. (in Russian)

Suggested Citation

  • Sergey Ivashchenko, 2013. "Dynamic Stochastic General Equilibrium Model with Banks and Endogenous Defaults of Firms," EUSP Department of Economics Working Paper Series Ec-02/13, European University at St. Petersburg, Department of Economics.
  • Handle: RePEc:eus:wpaper:ec0213
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    References listed on IDEAS

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    Cited by:

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

    More about this item

    Keywords

    DSGE; endogenous defaults of firms;

    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

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