【主讲】Enrique MartÌnez-GarcÌa (Federal Reserve Bank of Dallas)
【主题】Credit Uncertainty Cycle
【时间】2013年5月30日 (周四) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】This paper integrates a model of agency cost with time varying uncertainty into an otherwise standard Dynamic New Keynesian model in order to capture a "credit-uncertainty cycle" in the model economy. Deterioration in credit conditions amplifies the aggregate uncertainty of the economy; rising uncertainty further aggravates the information asymmetry between lenders and borrowers, worsens credit conditions and eventually cause more damage than the initial shock. In our model, uncertainty emerges from the volatility in the idiosyncratic productivity of an economic agent (micro uncertainty) as well as in the total factor productivity (macro uncertainty). We describe the time-variant micro and macro uncertainty using stochastic volatility models. In order to obtain independent effects of an uncertainty shock to the economy without interacting with other shocks, we solve our model based on a third-order approximation using perturbation method. We estimate our model using Bayesian Markov Chain Monte Carlo (MCMC) methods to identify the credit, uncertainty as well as the other economic shocks and obtain the steady state parameters of the model economy.
