全球智库信息集成服务系统(G2TT): DP14545 Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach

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来源类型	Discussion paper
规范类型	论文
来源ID	DP14545
	DP14545 Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
	Gianluca Benigno; Andrew Foerster; Christopher Otrok; Alessandro Rebucci
发表日期	2020-03-30
出版年	2020
语种	英语
摘要	We estimate a workhorse DSGE model with an occasionally binding borrowing constraint. First, we propose a new specification of the occasionally binding constraint, where the transition between being the unconstrained and constrained states is a stochastic function of the leverage level and the constraint multiplier. This specification maps into an endogenous regime-switching model. Second, we develop a general perturbation method for the solution of such a model. Third, we estimate the model with Bayesian methods to fit Mexico's business cycle and financial crisis history since 1981. The estimated model fits the data well, identifying three crisis episodes of varying duration and intensity: the Debt, Tequila, and Global Financial Crises. The crisis episodes generated by the estimated model display sluggish and long-lasting build-up and stagnation phases driven by cocktails of shocks. Different sets of shocks explain different variables over the business cycle and the three historical episodes of sudden stops identified.
主题	International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词	Financial crises Business cycles Endogenous regime-switching Bayesian estimation Occasionally binding constraints Mexico
URL	https://cepr.org/publications/dp14545
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/543449
推荐引用方式 GB/T 7714	Gianluca Benigno,Andrew Foerster,Christopher Otrok,et al. DP14545 Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach. 2020.