Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/193548 
Year of Publication: 
2017
Series/Report no.: 
ESRB Working Paper Series No. 41
Publisher: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Abstract: 
This paper investigates in a non-linear setting the impact on the real economy of frictions stemming from the financial sector. We develop a medium scale DSGE model with a banking sector where an occasionally binding constraint on banks' capital induces a relevant non-linearity. The model - estimated on Italian data from 1999 to 2015 via a likelihood-free method - is able to generate business cycle asymmetries as in actual data that cannot replicated by linear models. Lastly, the role of macroprudential policies in smoothing the cycle is discussed.
Subjects: 
Financial frictions
non-linear DSGE Models
likelihood-free estimation
JEL: 
C15
E32
E44
G01
Persistent Identifier of the first edition: 
ISBN: 
978-92-95081-93-2
Document Type: 
Working Paper

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