CRASH - A Simulation Model for Extreme Events

Research output: Other contribution

Abstract

What is the impact of extreme external shocks, such as the Great Recession,
upon Dutch public finances? The question is very challenging, given that
such shocks are very different from mild disruptions of the economy and
unique in many respects. This document constructs a model to calculate
scenarios of such external shocks. The model includes households, firms,
pension funds, banks and the government. We simulate combinations of
shocks in world trade, equity prices, housing prices, and the interest rates on
bonds and bank loans to represent a financial crisis scenario. In addition, we
study the role of initial conditions. In particular, we explore to what extent
a substantially different leverage ratio of banks, funding ratio of pension
funds and loan-to-value ratio of households changes the impact of extreme
external shocks.
Original languageEnglish
TypeBackground document
Media of outputCPB Website
PublisherCentraal Planbureau (CPB)
Number of pages44
Place of PublicationDen Haag
Publication statusPublished - 15 Sep 2020

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