| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26935 |
| 来源ID | Working Paper 26935 |
| Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach | |
| Gianluca Benigno; Andrew Foerster; Christopher Otrok; Alessandro Rebucci | |
| 发表日期 | 2020-04-06 |
| 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 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 Crisis in the early-1980s, the Peso Crisis in the mid-1990s, and the Global Financial Crisis in the late-2000s. The crisis episodes generated by the estimated model display sluggish and long-lasting build-up and stagnation phases driven by plausible combinations of shocks. Different sets of shocks explain different variables over the business cycle and the three historical episodes of sudden stops identified. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; International Economics ; International Macroeconomics ; Financial Economics |
| URL | https://www.nber.org/papers/w26935 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584608 |
| 推荐引用方式 GB/T 7714 | Gianluca Benigno,Andrew Foerster,Christopher Otrok,et al. Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26935.pdf（953KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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