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

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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Year of publication:	2013
Authors:	Ivashchenko, S.
Published in:	Journal of the New Economic Association. - New Economic Association - NEA. - Vol. 19.2013, 3, p. 27-50
Publisher:	New Economic Association - NEA
Subject:	DSGE \| endogenous defaults of firms

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Extent:	application/pdf
Type of publication:	Article
Classification:	E32 - Business Fluctuations; Cycles ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010839431