We want to be able to run the max-share method within a model with the VFCI, and see that it identifies the same dynamics as the max-share business cycle shock in the data.
Angeletos et al. and the Risky Business Cycle Paper both do this in their papers.
We want to be able to run the max-share method within a model with the VFCI, and see that it identifies the same dynamics as the max-share business cycle shock in the data.
Angeletos et al. and the Risky Business Cycle Paper both do this in their papers.