Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries

Semmler W, Chen P (2014)
Economics The Open-Access Open-Assessment E-Journal 8(2014-20): 1.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Abstract / Bemerkung
Over-borrowing and financial stress has recently become an important issue in macroeconomic and policy discussions in the US as well as in the EU. In this paper the authors study two regimes of financial stress. In a regime of high financial stress, stress shocks can have large and persistent impacts on the real side of the economy whereas in regimes of low stress, shocks can easily dissipate having no lasting effects. In order to study the macroeconomic dynamics, with alternative paths resulting from financial stress shocks, the authors introduce a macromodel with a finance-macro link which uses a multi-period decision framework of economic agents. The agents can, in a finite horizon context, borrow and accumulate assets where however the above two scenarios may occur. The model is solved through nonlinear model predictive control (NMPC). Empirically the authors use a multi-regime VAR (MRVAR) to study the impact of financial stress shocks on the macroeconomy in a large number of countries. Published in Special Issue Economic Perspectives Challenging Financialization, Inequality and Crises
Stichworte
Financial Stress; MRVAR; Macro dynamics
Erscheinungsjahr
2014
Zeitschriftentitel
Economics The Open-Access Open-Assessment E-Journal
Band
8
Ausgabe
2014-20
Art.-Nr.
1
ISSN
1864-6042
eISSN
1864-6042
Page URI
https://pub.uni-bielefeld.de/record/2695114

Zitieren

Semmler W, Chen P. Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries. Economics The Open-Access Open-Assessment E-Journal. 2014;8(2014-20): 1.
Semmler, W., & Chen, P. (2014). Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries. Economics The Open-Access Open-Assessment E-Journal, 8(2014-20), 1. doi:10.5018/economics-ejournal.ja.2014-20
Semmler, W., and Chen, P. (2014). Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries. Economics The Open-Access Open-Assessment E-Journal 8:1.
Semmler, W., & Chen, P., 2014. Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries. Economics The Open-Access Open-Assessment E-Journal, 8(2014-20): 1.
W. Semmler and P. Chen, “Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries”, Economics The Open-Access Open-Assessment E-Journal, vol. 8, 2014, : 1.
Semmler, W., Chen, P.: Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries. Economics The Open-Access Open-Assessment E-Journal. 8, : 1 (2014).
Semmler, Willi, and Chen, Pu. “Financial Stress, Regime Switching and Macrodynamics: Theory and Empirics for the US, the EU and Non-EU Countries”. Economics The Open-Access Open-Assessment E-Journal 8.2014-20 (2014): 1.

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