Macro, Money and Finance : A Continuous Time Approach

This paper puts forward a teaching manual for how to set up and solve a continuous time model that allows one to analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility Paradox. Concepts such as (4) illiquidity and liquidity mismatch, (5) endogenous leverage, (6) the Paradox of Prudence, (7) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial frictions also give rise to an endogenous (10) value of money

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Year of publication:	2016
Authors:	Brunnermeier, Markus K.
Other Persons:	Sannikov, Yuliy (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Finanzkrise \| Financial crisis \| Makroökonomik \| Macroeconomics \| Zeitökonomie \| Economy of time \| Kapitalmarkttheorie \| Financial economics \| Makroökonomisches Modell \| Macroeconomic model \| Risiko \| Risk

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Extent:	1 Online-Ressource (57 p)
Series:	NBER Working Paper ; No. w22343
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2016 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012989115