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  1. Forbearance vs foreclosure in a general equilibrium model
    Autor*in: Barbaro, Bianca; Tirelli, Patrizio
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We build a business cycle model characterized by endogenous firms dynamics, where banks may prefer debt renegotiation, i.e. non-performing exposures, to outright borrowers default. We find that debt renegotiations only do not have adverse effects in... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
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    We build a business cycle model characterized by endogenous firms dynamics, where banks may prefer debt renegotiation, i.e. non-performing exposures, to outright borrowers default. We find that debt renegotiations only do not have adverse effects in the event of financial crisis episodes, but a large share of non-performing firms is associated with a sharp deterioration of economic activity in two cases. First, if there are congestion effects in banks ability to monitor non-performing loans. Second, if such loans adversely affect the commercial banks' moral hazard problem due to their opacity. Aggressive interest rate reductions and quantitative easing limit defaults and the output contraction caused by a financial crisis, without adverse effects on the entry of new, more productive firms. The model shows that the observed long-run trend in the share of non-performing loans might be caused by the persistent reduction in technological advancements which drive firm entry rates and firms turnover.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289945318
    Weitere Identifier:
    hdl: 10419/234085
    Schriftenreihe: Working paper series / European Central Bank ; no 2531 (March 2021)
    Schlagworte: Non-Performing Loans; DSGE Model; Financial Frictions; Quantitative Easing; Firms Entry
    Umfang: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  2. Real business cycles in emerging countries
    are Asian business cycles different from Latin American business cycles?
    Autor*in: Hwang, Seolwoong; Kim, So-yŏng
    Erschienen: 2021. 8
    Verlag:  Bank of Korea, Seoul, Korea

    English Abstract: Most previous studies on business cycles in emerging markets have focused on elucidating the differences between advanced and emerging countries. However, the present study investigates the differences in two groups of emerging... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    English Abstract: Most previous studies on business cycles in emerging markets have focused on elucidating the differences between advanced and emerging countries. However, the present study investigates the differences in two groups of emerging countries, namely, those in Asia and Latin America. This study first documents that Asian economies are characterized by a higher trade balance share volatility, higher autocorrelations in key macroeconomic variables, higher contributions of trend productivity shocks to fluctuations in key macroeconomic variables, and lower consumption volatility, than Latin American economies. By estimating dynamic stochastic general equilibrium (DSGE) models buffeted with various structural shocks and frictions and performing a counterfactual analysis, this study further suggests the key sources of the differences. First, the first three differences are mainly explained by a higher persistence of trend productivity shocks in Asia than in Latin America. Second, the differences in consumption volatility appear to arise from a higher labor supply elasticity in Asia than in Latin America. We further provide data on policy regime changes and labor markets in both regions to explain the differences in their economic structure. The differences in the contribution of trend productivity shocks in economic fluctuations of the two groups also provide a partial explanation of the discrepancy in the role of trend shocks in past studies

     
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    Sprache: Englisch
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    Schriftenreihe: BOK working paper ; no. 2021, 11
    Schlagworte: Economic Fluctuation; Emerging Economy; Trend Productivity Shock; Policy Regime; Financial Friction; Asia; Latin America; DSGE Model
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  3. Tax Incidence and Fiscal Sustainability in DSGE Model
    Autor*in: Doi, Junko; Yamada, Kota; Yasuoka, Masaya
    Erschienen: November 2021
    Verlag:  School of Economics, Kwansei Gakuin University, Nishinomiya, Japan

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    Schriftenreihe: Discussion paper series / [School of Economics, Kwansei Gakuin University] ; no. 231
    Schlagworte: DSGE Model; Fiscal Sustainability; Taxation
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  4. Adaptive importance sampling for DSGE models
    Autor*in: Grassi, Stefano; Lorusso, Marco; Ravazzolo, Francesco
    Erschienen: [2021]
    Verlag:  unibz, Faculty of Economics and Management, [Bozen]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: BEMPS ; no 84 (2021)
    Schlagworte: Adaptive Importance Sampling; DSGE Model; Expectation-Maximization; Fiscal policy; Open-Economy Model
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  5. A dual banking sector with credit unions and traditional banks
    what implications on macroeconomic performances?
    Autor*in: Cargoet, Thibaud; Cornée, Simon; Martin, Franck; Razafindrabe, Tovonony; Rondeau, Fabien; Tavéra, Christophe
    Erschienen: [2021]
    Verlag:  Center for Research in Economics and Management, University of Rennes 1, University of Caen Normandie, [Rennes]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Sprache: Englisch
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    Schriftenreihe: Working paper / Center for Research in Economics and Management ; WP 2021, 03 (Novembre 2021)
    Schlagworte: Banking sector; Credit Unions; DSGE Model; Monetary Policy
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen