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Assessing macro-financial linkages: A model comparison exercise

R. Gerke, M. Jonsson, Martin Kliem (), Marcin Kolasa (), P. Lafourcade, Alberto Locarno (), Krzysztof Makarski () and Peter McAdam

Economic Modelling, 2013, vol. 31, issue C, 253-264

Abstract: The recent global financial crisis has increased interest in macroeconomic models that incorporate financial frictions. We illustrate the simulation properties of five medium-sized general equilibrium models used by central banks in the Eurosystem. The models include a financial accelerator mechanism (convex “spread” costs related to firms' leverage) and/or collateral constraints (based on asset values). We provide results from impulse responses to shocks originating in the financial sector as well as a monetary policy shock. Overall, the models share qualitatively similar and interpretable features. This gives us confidence that we have some common understanding of the mechanisms involved. Finally, we survey recent trends in the literature on financial frictions.

Keywords: Financial frictions; Credit constraints; Financial accelerator; Model comparison; Eurosystem central bank models (search for similar items in EconPapers)
JEL-codes: E32 E44 E47 E52 (search for similar items in EconPapers)
Date: 2013
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Working Paper: Assessing macro-financial linkages: a model comparison exercise (2012) Downloads
Working Paper: Assessing macro-financial linkages: A model comparison exercise (2012) Downloads
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