Estimating macroeconomic models of financial crises: An endogenous regime-switching approach

• 成果类型: Article
• 署名作者: Benigno, Gianluca; Foerster, Andrew; Otrok, Christopher; Rebucci, Alessandro
• 署名单位: University of Lausanne; Centre for Economic Policy Research - UK; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Federal Reserve System - USA; Federal Reserve Bank - Dallas; Johns Hopkins University; National Bureau of Economic Research
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2038
• 发表日期: 2025
• 页码: 1-47
• 关键词: business cycles; Bayesian estimation; endogenous regime-switching; financial crises; Mexico; occasionally binding constraints; sudden stops; C11; E3; F41; G01

摘要

We develop a new model of cycles and crises in emerging markets, featuring an occasionally binding borrowing constraint and stochastic volatility, and estimate it with quarterly data for Mexico since 1981. We propose an endogenous regime-switching formulation of the occasionally binding borrowing constraint, develop a general perturbation method to solve the model, and estimate it using Bayesian methods. We find that the model fits the Mexican data well without systematically relying on large shocks, matching the typical stylized facts of emerging market business cycles and Mexico's history of sudden stops in capital flows. We also find that interest rate shocks play a smaller role in driving both cycles and crises than previously found in the literature.