首页 / 科学研究 / 讲座会议预告 / 复旦金融论坛 / 正文

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

  发布日期:2019-09-23  浏览次数:

题目:Expectation Effects of Switching Financial Frictions



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