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- Publisher Website: 10.1146/annurev-financial-110921-112053
- Scopus: eid_2-s2.0-85176776969
- WOS: WOS:001094251900022
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Article: Macro-Finance Models with Nonlinear Dynamics
Title | Macro-Finance Models with Nonlinear Dynamics |
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Authors | |
Keywords | DSGE models dynamic stochastic general equilibrium models endogenous jump risk financial constraints liquidity systemic risk |
Issue Date | 1-Nov-2023 |
Publisher | Annual Reviews |
Citation | Annual Review of Financial Economics, 2023, v. 15, p. 407-432 How to Cite? |
Abstract | We review macro-finance models featuring nonlinear dynamics that have recently been developed in the literature, including models with funding liquidity constraints, market liquidity frictions, and bank run frictions, and discuss the empirical evidence and challenges of this class of models. We also construct an illustrative model featuring financial frictions and nonlinear dynamics for readers who are unfamiliar with the literature. We solve the model using different solution techniques, including both global and perturbation solution methods, and comprehensively compare the accuracy of these solutions. Within this framework, we highlight that local linearization approximations omit important nonlinear dynamics and yield biased impulse responses. |
Persistent Identifier | http://hdl.handle.net/10722/339130 |
ISSN | 2023 Impact Factor: 5.0 2023 SCImago Journal Rankings: 4.854 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Dou, Winston Wei | - |
dc.contributor.author | Fang, Xiang | - |
dc.contributor.author | Lo, Andrew | - |
dc.contributor.author | Uhlig, Harald | - |
dc.date.accessioned | 2024-03-11T10:34:07Z | - |
dc.date.available | 2024-03-11T10:34:07Z | - |
dc.date.issued | 2023-11-01 | - |
dc.identifier.citation | Annual Review of Financial Economics, 2023, v. 15, p. 407-432 | - |
dc.identifier.issn | 1941-1367 | - |
dc.identifier.uri | http://hdl.handle.net/10722/339130 | - |
dc.description.abstract | <p>We review macro-finance models featuring nonlinear dynamics that have recently been developed in the literature, including models with funding liquidity constraints, market liquidity frictions, and bank run frictions, and discuss the empirical evidence and challenges of this class of models. We also construct an illustrative model featuring financial frictions and nonlinear dynamics for readers who are unfamiliar with the literature. We solve the model using different solution techniques, including both global and perturbation solution methods, and comprehensively compare the accuracy of these solutions. Within this framework, we highlight that local linearization approximations omit important nonlinear dynamics and yield biased impulse responses.<br></p> | - |
dc.language | eng | - |
dc.publisher | Annual Reviews | - |
dc.relation.ispartof | Annual Review of Financial Economics | - |
dc.subject | DSGE models | - |
dc.subject | dynamic stochastic general equilibrium models | - |
dc.subject | endogenous jump risk | - |
dc.subject | financial constraints | - |
dc.subject | liquidity | - |
dc.subject | systemic risk | - |
dc.title | Macro-Finance Models with Nonlinear Dynamics | - |
dc.type | Article | - |
dc.identifier.doi | 10.1146/annurev-financial-110921-112053 | - |
dc.identifier.scopus | eid_2-s2.0-85176776969 | - |
dc.identifier.volume | 15 | - |
dc.identifier.spage | 407 | - |
dc.identifier.epage | 432 | - |
dc.identifier.eissn | 1941-1375 | - |
dc.identifier.isi | WOS:001094251900022 | - |
dc.identifier.issnl | 1941-1367 | - |