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Assessing macro-financial linkages: A model comparison exercise
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DOI：10.1016/j.econmod.2012.10.019.png)
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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. (C) 2012 Elsevier B.V. All rights reserved.
Keyword:
Financial frictions
Credit constraints
Financial accelerator
Model comparison
Eurosystem central bank models
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