Macro-Finance Models with Nonlinear Dynamics

IF 5 3区 经济学 Q1 BUSINESS, FINANCE
Winston Dou, Xiang Fang, Andrew W. Lo, Harald Uhlig
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引用次数: 4

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.
非线性动力学宏观金融模型
我们回顾了最近在文献中发展的具有非线性动力学特征的宏观金融模型,包括具有资金流动性约束、市场流动性摩擦和银行挤兑摩擦的模型,并讨论了这类模型的经验证据和挑战。我们还为不熟悉文献的读者构建了一个具有金融摩擦和非线性动力学的说明性模型。我们使用不同的解法,包括全局解法和摄动解法来求解模型,并全面比较了这些解法的精度。在这个框架内,我们强调局部线性化近似忽略了重要的非线性动力学和产生偏置脉冲响应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
5.00
自引率
0.00%
发文量
26
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