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
Date Written: October 13, 2022
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: Suggested Citation