Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/97645 
Erscheinungsjahr: 
2014
Quellenangabe: 
[Journal:] Economics: The Open-Access, Open-Assessment E-Journal [ISSN:] 1864-6042 [Volume:] 8 [Issue:] 2014-20 [Publisher:] Kiel Institute for the World Economy (IfW) [Place:] Kiel [Year:] 2014 [Pages:] 1-42
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
Over-borrowing and financial stress has recently become an important issue in macroeconomic and policy discussions in the US as well as in the EU. In this paper the authors study two regimes of financial stress. In a regime of high financial stress, stress shocks can have large and persistent impacts on the real side of the economy whereas in regimes of low stress, shocks can easily dissipate having no lasting effects. In order to study the macroeconomic dynamics, with alternative paths resulting from financial stress shocks, the authors introduce a macromodel with a finance-macro link which uses a multi-period decision framework of economic agents. The agents can, in a finite horizon context, borrow and accumulate assets where however the above two scenarios may occur. The model is solved through nonlinear model predictive control (NMPC). Empirically the authors use a multi-regime VAR (MRVAR) to study the impact of financial stress shocks on the macroeconomy in a large number of countries.
Schlagwörter: 
Financial Stress
Macro dynamics
MRVAR
JEL: 
E3
G21
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe
1.46 MB





Publikationen in EconStor sind urheberrechtlich geschützt.