This paper examines causes of banking crises. In particular, we try to explain why banks expand credits rapidly before the crises. We also seek for appropriate recapitalization policy to cope with a systemic banking crisis. To serve these purposes, we construct an agent-based simulation model...

We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor—changes in the federal funds rate target—and find that they are not. Instead, we find that two...

The development and use of dynamic optimization model is extremely important in financial markets. The classical mean-variance portfolio model assumes the expected returns are known with perfect precision. In practice, however, it is extremely difficult to estimate precisely. While portfolios...

This paper studies how international capital mobility affects aggregate volatility by considering the case of imperfect financial markets such that only physical capital serves as collateral for international borrowing, whereas human capital cannot. We find that credit-rationed, small open...

In this paper, we propose a heterogeneous interacting agent model of a sequential monetary production economy. We use a basic dynamic flow model in an interacting agent context. The economy is assumed to be closed. There are three classes of agents: a single homogeneous representative consumer,...

Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...