Projects funded by the Ministry of Science, Innovation and Universities

DSGE models with financial frictions: aggregate fluctuations, learning, news shocks and related issues

Researcher(s):
Idoia Aguirre (Universidad Pública de Navarra), Pablo Aguilar (Banco de España), Steven P. Cassou (Kansas State University), Luis Herrera (UcLouvain, UPV/EHU, BCE), Jesús Vázquez (Investigador principal)
Period:
from 2021 to 2025
Financing entity:
Ministerio de Ciencia, Innovación y Universidades (PID2020-118698GB-I00)
Total amount:
16.093 €
Description:

This project focuses on dynamic stochastic general equilibrium (DSGE) models with financial frictions. These models build on the standard medium-scale DSGE model of Smets and Wouters (2007) by adding some sort of financial frictions. In this project, we concentrate on two of the most standard approaches to incorporate a financial sector into a DSGE model: (i) the financial accelerator of Bernanke, Gertler and Gilchrist (1999), and (ii) credit channel approach suggested by Gertler and Karadi (2011).

Our efforts aim at understanding the nature and the importance of alternative sources of structural shocks. These efforts are structured in this project in fourth self-contained lines of research. First, we are analyzing the periods surrounding three major US recessions. Second, the role and the nature of news (anticipated) shocks. Third, the role and the nature of news shocks in a limited rationality framework characterized by adaptive learning. Finally, a quantitative assessment of the impact of financial frictions on the Spanish economy