scholarly journals Financial Shocks, Financial Frictions and Financial Intermediaries in DSGE Models: Comments on the Recent Literature

2010 ◽  
Author(s):  
Mario Arend
Keyword(s):  
Recent Literature ◽  
Financial Frictions ◽  
Financial Intermediaries ◽  
Dsge Models ◽  
Financial Shocks

scholarly journals Bayesian Evaluation of DSGE Models with Financial Frictions

2013 ◽  
Vol 45 (8) ◽  
pp. 1451-1476 ◽  
Author(s):  
MICHAŁ BRZOZA-BRZEZINA ◽  
MARCIN KOLASA
Keyword(s):  
Financial Frictions ◽  
Dsge Models

scholarly journals The Anatomy of Standard DSGE Models with Financial Frictions

2011 ◽  
Author(s):  
Michal Brzoza-Brzezina ◽  
Marcin Kolasa ◽  
Krzysztof Makarski
Keyword(s):  
Financial Frictions ◽  
Dsge Models

scholarly journals Financial Frictions, Financial Shocks, and Aggregate Volatility

2014 ◽  
Vol 2014 (84) ◽  
pp. 1-49
Author(s):  
Cristina Fuentes-Albero ◽  
Keyword(s):  
Financial Frictions ◽  
Financial Shocks

scholarly journals Capital controls as a credit policy tool in a small open economy

2017 ◽  
Vol 18 (1) ◽  
Author(s):  
Shigeto Kitano ◽  
Kenya Takaku
Keyword(s):  
Open Economy ◽  
Emerging Economies ◽  
Financial Frictions ◽  
Small Open Economy ◽  
Balance Sheet ◽  
Monetary Economics ◽  
Capital Controls ◽  
Financial Intermediaries ◽  
Credit Policy ◽  
Policy Tool

AbstractWe develop a sticky price, small open economy model with financial frictions à la [Gertler, Mark, and Peter Karadi. 2011. “A Model of Unconventional Monetary Policy.”Journal of Monetary Economics58 (1): 17–34.], in combination with liability dollarization. An agency problem between domestic financial intermediaries and foreign investors of emerging economies introduces financial frictions in the form of time-varying endogenous balance sheet constraints on the domestic financial intermediaries. We consider a shock that tightens the balance sheet constraint and show that capital controls, the effects of which are rigorously examined as a policy tool for the emerging economies, can be a credit policy tool to mitigate the negative shock.

scholarly journals The anatomy of standard DSGE models with financial frictions

2013 ◽  
Vol 37 (1) ◽  
pp. 32-51 ◽  
Author(s):  
Michał Brzoza-Brzezina ◽  
Marcin Kolasa ◽  
Krzysztof Makarski
Keyword(s):  
Financial Frictions ◽  
Dsge Models

scholarly journals Monetary Policy Analysis with Potentially Misspecified Models

2009 ◽  
Vol 99 (4) ◽  
pp. 1415-1450 ◽  
Author(s):  
Marco Del Negro ◽  
Frank Schorfheide
Keyword(s):  
Policy Analysis ◽  
Recent Literature ◽  
Model Misspecification ◽  
Dynamic Stochastic General Equilibrium ◽  
Dsge Models ◽  
Estimation Of Parameters ◽  
Dsge Model ◽  
Misspecified Models ◽  
Trade Offs ◽  
Dynamic Stochastic

Policy analysis with potentially misspecified dynamic stochastic general equilibrium (DSGE) models faces two challenges: estimation of parameters that are relevant for policy trade-offs, and treatment of the deviations from the cross-equation restrictions. Using post-1982 US data, we study the robustness of the policy prescriptions from a state-of-the-art DSGE model with respect to two approaches to model misspecification pursued in the recent literature: (i) adding shocks to the DSGE model and/or generalizing the processes followed by these shocks; and (ii) explicit modeling of deviations from cross-equation restrictions (DSGE-VAR). (JEL C51, E13, E43, E52, E58)

Forecasting using DSGE models with financial frictions

2015 ◽  
Vol 31 (1) ◽  
pp. 1-19 ◽  
Author(s):  
Marcin Kolasa ◽  
Michał Rubaszek
Keyword(s):  
Financial Frictions ◽  
Dsge Models

scholarly journals Financial Frictions in Macroeconomic Models

2018 ◽  
Author(s):  
Alfred Duncan ◽  
Charles Nolan
Keyword(s):  
Financial Stability ◽  
Financial Frictions ◽  
Financial Sector ◽  
Financial Intermediaries ◽  
Financial Instability ◽  
External Shocks ◽  
Macroeconomic Dynamics ◽  
Macroeconomic Models ◽  
Macroprudential Policies

In recent decades, macroeconomic researchers have looked to incorporate financial intermediaries explicitly into business-cycle models. These modeling developments have helped us to understand the role of the financial sector in the transmission of policy and external shocks into macroeconomic dynamics. They also have helped us to understand better the consequences of financial instability for the macroeconomy. Large gaps remain in our knowledge of the interactions between the financial sector and macroeconomic outcomes. Specifically, the effects of financial stability and macroprudential policies are not well understood.

scholarly journals Financial Frictions, Financial Shocks, and Aggregate Volatility

2014 ◽  
Author(s):  
Cristina Fuentes-Albero
Keyword(s):  
Financial Frictions ◽  
Financial Shocks

scholarly journals Financial Sector’s Role in Transmission of Monetary and Fiscal Shocks in Russian Economy: Estimation Under Different Assumptions About Production Sector

2021 ◽  
Vol 13 (6) ◽  
pp. 25-53
Author(s):  
S.S. Lazaryan ◽  
◽  
M.A. Elkina ◽  
Keyword(s):  
Developing Economies ◽  
Financial Frictions ◽  
Policy Instruments ◽  
Financial Sector ◽  
Dsge Models ◽  
Production Sector ◽  
Sector Model ◽  
Russian Economy ◽  
Fiscal Shocks

The financial sector plays a crucial role in the economy, not only being a simple intermediary between creditors and borrowers, but also having a significant impact on the economy’s development and its various characteristics. For this reason, accounting for financial sector peculiarities is critical when developing policy-oriented general equilibrium models for practical use. This drives the interest of many researchers in development of approaches to describing the financial sector and financial frictions in DSGE models. In financial frictions models one can describe the production side of the economy in a simplistic way. However, it could be important to model the production sector in more detail. For instance, separating tradable and non-tradable sectors of the economy could be of great significance, especially for developing economies which depend on foreign trade a lot. In this paper we analyze the role of the financial sector and how important it is for transmission of monetary and fiscal shocks under different assumptions about the production sector. Namely, we compare two-sector economy with tradable and non-tradable sectors with a simplistic model which assumes that the economy produces only tradable goods. According to the results, financial frictions impact tradable and nontradable sectors asymmetrically. In the two-sector model the effect of financial frictions is quantitatively smaller than in the one-sector economy. Therefore, using the latter simplifying assumption could lead to overestimating the role of financial frictions in the transmission of monetary and fiscal shocks. In addition, the paper provides estimates of how changes in monetary and fiscal policy instruments impact the Russian economy given the existence of financial frictions.

Sign in / Sign up

Export Citation Format

Share Document