The integration of the financial system in macroeconometric models for policy simulation

Riccardo Barbieri Hermitte, Carlo A. Favero, Valeria Macauda, Mara Meacci, Francesco Nucci and Cristian Tegami

Chapter 24 in Handbook of Financial Integration, 2024, pp 565-583 from Edward Elgar Publishing

Abstract: The objective of this chapter is to provide a survey of the role of financial factors in macroeconometric models for policy simulation. The chapter first describes how the failure of existing models to predict the financial crises and characterize its transmission mechanisms has led to important advances in the mainstream modelling approach, with a prominent role assigned to financial intermediation. The chapter then uses the lens of a stock-flow consistent model developed at the Italian Department of Treasury to illustrate the centrality of sectoral balance sheets in this approach and assess its ability to capture some of the patterns observed during the financial crisis. The discussion takes as reference the criticisms posed to dynamic stochastic general equilibrium (DSGE) modelling after both the subprime loans and Euro-area sovereign debt crises.

Keywords: Economics and Finance (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.elgaronline.com/doi/10.4337/9781803926377.00035 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 503 Service Temporarily Unavailable

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:elg:eechap:21716_24

Ordering information: This item can be ordered from
http://www.e-elgar.com

Access Statistics for this chapter

More chapters in Chapters from Edward Elgar Publishing
Bibliographic data for series maintained by Darrel McCalla ().