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DESCRIPTION;ENCODING=QUOTED-PRINTABLE:Research Seminar - Andrew Foerster (Federal Reserve Bank of San Francisco) - Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach =0D=0A Co-authors: Gianluca Benigno (Federal Reserve Bank of New York and CEPR), Christopher Otrok (University of Missouri and Federal Reserve Bank of St. Louis), Alessandro Rebucci (Johns Hopkins University CEPR and NBER)  =0D=0A Abstract:   =0D=0A We develop a new approach to estimating DSGE models with occasionally binding borrowing constraints and apply it to Mexico’s business cycle and financial crisis history. We propose a new endogenous regime-switching specification of the borrowing constraint, develop a general perturbation method to solve the model, and estimate it using Bayesian methods. The estimated model fits the data with well-behaved shocks, identifying three crisis episodes of varying duration and intensity: the early-1980s Debt Crisis, the mid-1990s Tequila Crisis, and the late-2000s Global Financial Crisis. The estimated crisis episodes are much more persistent and in line with the data than traditional models.=0D=0A  =0D=0A Online Research seminars organized by the Bank of Finland's Research Unit are open to all researchers interested in the subjects covered.  Those wishing to attend a seminar are kindly asked to register in advance, by filling in  the Online Registration Form. =0D=0A The registration for each seminar is open until 9:00 am the day of the seminar. You will receive a link to join the seminar by email at the latest one hour before the seminar is scheduled to begin. =0D=0A
DTEND:20230601T084500Z
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DTSTART:20230601T073000Z
LOCATION:Teams meeting
SUMMARY:Andrew Foerster (Federal Reserve Bank of San Francisco) - Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
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