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

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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Year of publication:	2013-01-25
Authors:	Ivashchenko, Sergey
Institutions:	Department of Economics, European University at St. Petersburg
Subject:	DSGE \| endogenous defaults of firms

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Extent:	application/pdf
Series:	EUSP Deparment of Economics Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number Ec-02/13 48 pages
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/10011161261