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Business cycle effects of credit shocks in a DSGE model with firm defaults

Pesaran, M. Hashem; Xu, TengTeng - 2013

economy. A positive credit shock, defined as a rise in the loan-to-deposit ratio, increases output, consumption, hours and … productivity, and reduces the spread between loan and deposit rates. The effects of the credit shock tend to be highly persistent …

Persistent link: https://www.econbiz.de/10009751689

Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults

Pesaran, M. Hashem - 2016

and the level of uncertainty in the economy. A positive credit shock, defined as a rise in the loan-to-deposit ratio … effects of the credit shock tend to be highly persistent, even without price rigidities and habit persistence in consumption …

Persistent link: https://www.econbiz.de/10012994637

Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

Pesaran, M. Hashem - 2011

financial institutions in the transmission of credit and technology shocks to the real economy. A positive credit shock, defined … between loan and deposit rates. The effects of the credit shock tend to be highly persistent even without price rigidities and …

Persistent link: https://www.econbiz.de/10013119292

Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10013119521

How costly is it to ignore breaks when forecasting the direction of a time series?

Timmermann, Allan; Pesaran, M. Hashem - 2003

Empirical evidence suggests that many macroeconomic and financial time series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation between the forecast and the realization and on the ability to forecast...

Persistent link: https://www.econbiz.de/10011506213