SONOMA: a Small Open ecoNOmy for MAcrofinance
Mohammad Jahan-Parvar () and
No 1349, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)
We develop a new small open economy model (SONOMA) in which domestic corporate debt and equities are affected by shocks to both external credit and equity markets. In a novel empirical analysis of several small-but-developed economies, we show that both external debt and equity shocks are important determinants of domestic economic fluctuations, corporate leverage, and net foreign asset positions. SONOMA replicates our empirical facts about asset prices, financial flows, and economic activity.
Keywords: External Positions; Credit and Equity Shocks; Asset Pricing (search for similar items in EconPapers)
JEL-codes: F30 F40 G15 (search for similar items in EconPapers)
Pages: 78 p.
New Economics Papers: this item is included in nep-dge, nep-fdg and nep-opm
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1349
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