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DSGE

A New Keynesian DSGE model for Low Income Economies with Foreign Exchange Constraints

Bertha C. Bangara
The existing literature is clear that low income economies tend to suffer from foreign exchange shortages exacerbated by their exports. Most importantly, the concentration of their exports renders these countries susceptible to international price fluctuations. This frequently affects the level of...
Sep 2019
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The effectiveness of counter-cyclical loan-to-value regulations: generic versus sector-specific rules

Guangling Liu and Thabang Molise
This paper considers the implications of the counter-cyclical loan-to-value (CcLTV) regulation in a setting where different types of borrowers from distinct sectors of the credit market co-exist. To identify the optimal policy design, we consider two macro-prudential policy regimes, nanely generic...
Aug 2019
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Fiscal Policy and Adjustment in a Foreign Exchange Constrained Economy: Evidence from Malawi

Bertha C. Bangara and Amos C. Peters
Most of the recent literature analysing the adjustments of macroeconomic variables to fiscal policy shocks rely on the inclusion of non-Ricardian households to generate a positive response of consumption to an increase in government spending. This paper examines the dynamic effects of government...
Apr 2019
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Macroprudential policy and foreign interest rate shocks: A comparison of different instruments and regulatory regimes

Chris Garbers and Guangling Liu
This paper presents a generic small open economy real business cycle model with banking and foreign borrowing. We incorporate capital requirements, reserve requirements, and loan-to-value (LTV) regulation into this framework, and subject the model to a positive foreign interest rate shock that...
Oct 2017
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Welfare analysis of bank capital requirements with endogenous default

Fernando Garcia-Barragan and Guangling Liu
This paper presents a tractable framework with endogenous default and evaluates the welfare implication of bank capital requirements. We analyze the response of social welfare to a negative technology shock under different capital requirement regimes with and without default. We show that including...
Jun 2017
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Credit market heterogeneity, balance sheet (in) dependence, financial shocks

Chris Garbers and Guangling Liu
This paper presents a real business cycle model with financial frictions and two credit markets to investigate the qualitative and quantitative relevance of credit market heterogeneity. To address this line of inquiry we contrast the transmission of financial shocks in an economy where loans are...
Sep 2016
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Monetary policy and commodity terms of trade shocks in emerging market economies

Seedwell Hove, Albert Touna Mama and Fulbert Tchana Tchana
Commodity terms of trade shocks have continued to drive macroeconomic ‡uctuations in most emerging market economies. The volatility and persistence of these shocks have posed great challenges for monetary policy. This study employs a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model...
Aug 2012
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