Chuyên Đề khủng hoảng tín dụng trong một nền kinh tế mở

Credit crunch in a small open economy
Author:Michal Brzoza-Brzezina (Economic Institute, National Bank of Poland, Swietokrzyska 11/21, 00-919 Warszawa, Poland)
Krzysztof Makarski (bWarsaw School of Economics, Al. Niepodleglosci 162, 02-554 Warszawa, Poland)

AbstractWe construct an open-economy DSGE model with a banking sector to analyze the impact of the recent credit crunch on a small open economy. In our model the banking sector operates under monopolistic competition, collects deposits and grants collateralized loans. Collateral effects amplify monetary policy actions, interest rate stickiness dampens the transmission of interest rates, and financial shocks generate non-negligible real and nominal effects. As an application we estimate the model for Poland– a typical small open economy. According to the results, financial shocks had a substantial, though not overwhelming, impact on the Polish economy during the 2008/09 crisis, lowering GDP by approximately 1.5 percent.
TOC1. Introduction
2. The model
2.1. Households and Entrepreneurs
2.1.1. Patient households
2.1.2. Impatient households
2.1.3. Entrepreneurs
2.1.4. Labor supply
2.2. Producers
2.2.1. Capital good producers
2.2.2. Housing producers
2.2.3. Final good producers
2.2.4. Domestic retailers
2.2.5. Importing retailers
2.2.6. Exporting retailers
2.3. The financial sector
2.3.1. Financial Intermediaries
2.3.2. Saving banks
2.3.3. Lending banks
2.4. The government
2.5. The central bank
2.6. Market clearing, balance of payments and GDP
3. Calibration and estimation
3.1. Calibration procedure
3.2. Data and Estimation
3.3. Impulse response functions
4. The crunch
5. Robustness checks
6. Conclusions



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