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A Macroeconomic Model with a Financial Sector

The American economic review, 2014-02, Vol.104 (2), p.379-421 [Tạp chí có phản biện]

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Nhan đề:
A Macroeconomic Model with a Financial Sector
Tác giả: Brunnermeier, Markus K. ; Sannikov, Yuliy
Chủ đề: Analysis ; Capital investments ; Capital structure ; Criticism ; Economic crisis ; Economic models ; Economic theory ; Equilibrium ; Equity ; Financial leverage ; Financial risk ; Financial services ; Investment risk ; Macroeconomics ; Net worth ; Prices ; Return on capital ; Risk ; Securitization ; Steady state economies ; Studies ; Volatility ; Wealth
Là 1 phần của: The American economic review, 2014-02, Vol.104 (2), p.379-421
Mô tả: This article studies the full equilibrium dynamics of an economy with financial frictions. Due to highly nonlinear amplification effects, the economy is prone to instability and occasionally enters volatile crisis episodes. Endogenous risk, driven by asset illiquidity, persists in crisis even for very low levels of exogenous risk. This phenomenon, which we call the volatility paradox, resolves the Kocherlakota (2000) critique. Endogenous leverage determines the distance to crisis. Securitization and derivatives contracts that improve risk sharing may lead to higher leverage and more frequent crises.
Nơi xuất bản: Nashville: American Economic Association
Ngôn ngữ: English
Số nhận dạng: ISSN: 0002-8282
EISSN: 1944-7981
DOI: 10.1257/aer.104.2.379
CODEN: AENRAA
Nguồn: AUTh Library subscriptions: ProQuest Central

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