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...

This article suggests new approach to approximation of moments of nonlinear DSGE models. These approximations are fast and accurate enough to use them for estimation of parameters of nonlinear DSGE models. A small financial DSGE model is repeatedly estimated by several approaches. Approximations...

A medium-scale nonlinear dynamic stochastic general equilibrium (DSGE) model is estimated (54 variables, 29 state variables, 7 observed variables). The model includes a observed variable for stock market returns. The root-mean square error (RMSE) of the in-sample and out-of-sample forecasts is...

We build a dynamic stochastic general equilibrium model with five sectors (1 - mining; 2 - manufacturing; 3 - electricity, gas and water; 4 - trade, transport and communication; 5 - other). The model is estimated on 29 time-series of Russia statistical data. We analyse the out-of-sample...

This article compares the properties of different non-linear Kalman filters: the well-known Unscented Kalman filter (UKF), the central difference Kalman filter (CDKF) and the new Quadratic Kalman filter (QKF). A small financial DSGE model is repeatedly estimated by several quasi-likelihood...

This paper investigates how the hedonic equilibrium is modified when discrete consumer heterogeneity with horizontal differentiated housing supply is assumed. Our results are threefold. First, discrete consumer heterogeneity leads to a segmentation of the hedonic price function at equilibrium...

We analyze an endogenously growing economy in which production generates greenhouse gas emissions leading to global temperature increase. Global warming causes stochastic climate shocks, modeled by the Poisson process, which destroy part of the economy's capital stock. Part of the output may be...

According to several studies, agricultural carbon sequestration could be a relatively low cost opportunity to mitigate greenhouse gas concentrations. However the potential for storing additional carbon quantities in agricultural soils is critical, and depends on the past behavior of agricultural...

The optimal reaction to a pending climate catastrophe is to accumulate capital to be better prepared for the disaster and levy a carbon tax to reduce the risk of the hazard by curbing global warming. The optimal carbon tax consists of the present value of marginal damages, the non-marginal...

European countries have increased their use of environmental tax instruments by designing new tax bases. But, many countries have to face the opposition of the public opinion, for fear of the distributive consequences of these environmental tax reforms. This paper sheds light on the...