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Estimating Macroeconomic Models of Financial Crises : An Endogenous Regime-Switching Approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2022

Bayesian methods to fit Mexico's business cycle and financial crisis history since 1981. The estimated model fits the data well …

Persistent link: https://www.econbiz.de/10013306904

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - In: Quantitative economics : QE ; journal of the … 16 (2025) 1, pp. 1-47

and stochastic volatility, and estimate it with quarterly data for Mexico since 1981. We propose an endogenous regime … shocks, matching the typical stylized facts of emerging market business cycles and Mexico's history of sudden stops in …

Persistent link: https://www.econbiz.de/10015190160

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Persistent link: https://www.econbiz.de/10012261417

Estimating macroeconomic models of financial crises: an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

model. Third, we estimate the model with Bayesian methods to ﬁt Mexico’s business cycle and ﬁnancial crisis history since …

Persistent link: https://www.econbiz.de/10012309200

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Persistent link: https://www.econbiz.de/10012219565

Estimating macroeconomic models of financial crises : an endogenous regime-switching approach

Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher M. - 2020

Persistent link: https://www.econbiz.de/10012220661

Estimating Macroeconomic Models of Financial Crises : An Endogenous Regime Switching Approach

Benigno, Gianluca - 2020

Bayesian methods to fit Mexico's business cycle and financial crisis history since 1981. The estimated model fits the data well …

Persistent link: https://www.econbiz.de/10012847242

Are two financial frictions necessary to match U.S. business and financial cycles?

Górajski, Mariusz; Kuchta, Zbigniew - In: Finance research letters 59 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014445229

The role of financial frictions during the crisis : an estimated DSGE model

Merola, Rossana - In: Economic modelling 48 (2015), pp. 70-82

Persistent link: https://www.econbiz.de/10011452477

The Great Recession in the Non-EMU Visegrád countries : a nonlinear DSGE model with time-varying parameters

Tvrz, Stanislav; Vašíček, Osvald - In: Finance a úvěr 66 (2016) 3, pp. 207-235

Persistent link: https://www.econbiz.de/10011532664