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Debt-deflation, financial market stress and regime change - Evidence from Europe using MRVAR

机译：债务通缩，金融市场压力和体制变化-欧洲使用MRVAR的证据

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摘要

Since the economic meltdown of 2008-2009 many euro area countries have experienced disinflation, and even deflation, in a period with large debt overhang, creating the conditions for continuing financial market stress. As disinflation and deflation push up the real interest rate, while growth and income declines, the leveraging problem becomes more severe and the economy risks shifting into a regime with high insolvency risk, high financial stress, rising credit spreads, possibly accompanied by strong adverse macroeconomic feedback loops. Investigating the consequences of those magnifying feedback loops, given the debt-deflation, we demonstrate the possibility of unstable dynamics and downward spirals in the presence of regime-dependent macro feedback loops, using a theoretical model with decentralized matching mechanisms on both labor and financial markets. To explore the amplifying linkages between deflation, output, labor and financial markets, we employ a new solution procedure called Non-linear Model Predictive Control (NMPC) to solve our models variants for out-of-steady-state dynamics. We apply a four variable Multi Regime VAR (MRVAR) model with regime dependent (generalized) impulse-response functions (GIRFs) to study deflationary and financial risk drivers empirically for Southern and Northern EU countries. New measures for financial risk drivers are employed and GIRFs for output, inflation rates, interest rates and financial stress are explored. The econometric results of the MRVAR are roughly in line with the theoretical regime change model. (C) 2017 Elsevier B.V. All rights reserved.
机译：自2008年至2009年经济危机以来，许多欧元区国家经历了通货膨胀甚至通货紧缩，而这期间债务大量积压，为持续的金融市场压力创造了条件。随着通货紧缩和通货紧缩推高实际利率，而增长和收入下降，杠杆问题变得更加严重，经济风险转向破产风险高，金融压力大，信贷息差上升的制度，可能伴随着强烈的不利宏观经济反馈回路。在给定债务紧缩的情况下，研究那些放大的反馈回路的后果，我们使用在劳动力和金融市场上具有分散匹配机制的理论模型，证明了存在依赖于政权的宏观反馈回路的情况下，不稳定动力和向下螺旋的可能性。为了探究通货紧缩，产出，劳动力和金融市场之间的放大联系，我们采用了一种称为非线性模型预测控制（NMPC）的新解决方法，以解决模型的非稳态动态。我们应用具有政体依赖性（广义）冲激响应函数（GIRF）的四变量多制度VAR（MRVAR）模型，以经验方式研究欧盟南部和北部国家通货紧缩和金融风险的驱动因素。采用了针对金融风险驱动因素的新措施，并探讨了针对产出，通货膨胀率，利率和财务压力的GIRF。 MRVAR的计量经济学结果与理论体系变化模型大致相符。 （C）2017 Elsevier B.V.保留所有权利。

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  • 来源
    《Journal of Economic Dynamics and Control》 |2017年第8期|115-139|共25页
  • 作者

    Ernst Ekkehard; Semmler Willi; Haider Alexander;

  • 作者单位

    Int Labor Org, Res Dept, Geneva, Switzerland;

    New Sch Social Res, Dept Econ, New York, NY 10011 USA|Bielefeld Univ, Bielefeld, Germany|ZEW Mannheim, Mannheim, Germany;

    New Sch Social Res, Dept Econ, New York, NY 10011 USA;

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