复旦金融论坛第117期：Expectation Effects of Switching Financial Frictions

题目：Expectation Effects of Switching Financial Frictions

主讲：邱实，复旦大学经济学院讲师，印第安纳大学布鲁明顿分校经济学博士

主持：张宗新，复旦大学经济学院教授

Abstrat：This paper investigates the effects of time-varying financial market conditionson macroeconomic variables by extending a standard dynamic stochastic general equilibrium model (DSGE) model to incorporate switching degrees of financial friction derived from switching uncertainty process in a costly-state-verification problem. We emphasize the expectation effect of switching financial condition. Transition probabilities influence agents' choice through expectation effect: upon an adverse shock, a bleak outlook of financial market causes slow recovery of investment. The novelty of this paper is that we introduce feedback from past fundamental shocks to switching dynamics through time-varying transition probability given explicitly as a function of these shocks. Empirically, we uncover evidence of time-varying transition in the U.S. data and quantify the contribution of each fundamental shock.

时间：2019年9月24日（星期二） 13:30-15:00

地点：复旦大学11号楼316会议室

主办：复旦大学金融研究院