Online Appendix for 'Macro-Finance Models with Nonlinear Dynamics'

Annual Review of Financial Economics, Forthcoming

77 Pages Posted: 28 Sep 2021 Last revised: 14 Oct 2022

See all articles by Winston Wei Dou

Winston Wei Dou

The Wharton School, University of Pennsylvania; National Bureau of Economic Research (NBER)

Xiang Fang

The University of Hong Kong

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering

Harald Uhlig

University of Chicago - Department of Economics

Date Written: October 13, 2022

Abstract

Section 1 describes the model in greater details. Section 2 displays a benchmark model without intermediary frictions and compare the decentralized frictionless model with the social planner’s problem. Section 3 briefly introduces the various numerical solution methods we use to solve the model. Section 4 provides additional results of quantitative analysis. Section 5 compare two cases with high and low investment rates, and we show that the local perturbation method can fail in the case of low investment rate.

Keywords: Dynamic Stochastic General Equilibrium (DSGE) Models; Systemic Risk; Endogenous Jump Risk; Financial Constraints; Liquidity

JEL Classification: G12, G29, C51

Suggested Citation

Dou, Winston Wei and Fang, Xiang and Lo, Andrew W. and Uhlig, Harald, Online Appendix for 'Macro-Finance Models with Nonlinear Dynamics' (October 13, 2022). Annual Review of Financial Economics, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3930811 or http://dx.doi.org/10.2139/ssrn.3930811

Winston Wei Dou (Contact Author)

The Wharton School, University of Pennsylvania ( email )

2318 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
United States

HOME PAGE: http://finance-faculty.wharton.upenn.edu/wdou/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

HOME PAGE: http://www.nber.org/people/winston_wei_dou?page=1&perPage=50

Xiang Fang

The University of Hong Kong ( email )

Pokfulam Road
Hong Kong, Pokfulam HK
China

Andrew W. Lo

Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering ( email )

100 Main Street
E62-618
Cambridge, MA 02142
United States
617-253-0920 (Phone)
781 891-9783 (Fax)

HOME PAGE: http://web.mit.edu/alo/www

Harald Uhlig

University of Chicago - Department of Economics ( email )

1101 East 58th Street
Chicago, IL 60637
United States

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