SONOMA: A Small Open ecoNOmy for MAcrofinance

49 Pages Posted: 29 Nov 2018 Last revised: 16 Jan 2019

See all articles by Mariano (Max) Massimiliano Croce

Mariano (Max) Massimiliano Croce

Finance Department, Bocconi University; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR); University of North Carolina Kenan-Flagler Business School

Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System

Samuel Rosen

Temple University, Fox School of Business

Date Written: November 18, 2018

Abstract

We develop a small economy model in which external debt, corporate domestic debt and risky equities coexist. Our economy features shocks to short- and long-run productivity, as well as shocks to both domestic credit conditions (Jermann and Quadrini, 2012) and global credit markets. We show that credit shocks are an important determinant of economic fluctuations in a model consistent with asset pricing facts. According to data from EU countries, our setting features a powerful quantitative performance ideal for future monetary and fiscal policy analysis.

Keywords: Small Open Economy, Credit Shocks, Asset Pricing

JEL Classification: F3, F4, G15

Suggested Citation

Croce, Mariano Massimiliano and Jahan-Parvar, Mohammad R. and Rosen, Samuel, SONOMA: A Small Open ecoNOmy for MAcrofinance (November 18, 2018). Kenan Institute of Private Enterprise Research Paper No. 19-2. Available at SSRN: https://ssrn.com/abstract=3288963 or http://dx.doi.org/10.2139/ssrn.3288963

Mariano Massimiliano Croce

Finance Department, Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

HOME PAGE: http://sites.google.com/view/mmcroce/home

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

University of North Carolina Kenan-Flagler Business School ( email )

McColl Builiding
Chapel Hill, NC North Carolina 27599-3490
United States

HOME PAGE: http://https://sites.google.com/view/mmcroce/home

Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://sites.google.com/site/mrjahan/

Samuel Rosen (Contact Author)

Temple University, Fox School of Business ( email )

Fox School of Business and Management
Philadelphia, PA 19122
United States

HOME PAGE: http://sites.google.com/view/samuel-rosen/

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