We consider the problem of maximizing expected utility for a power investor who can allocate his wealth in a stock, a defaultable security, and a money market account. The dynamics of these security prices are governed by geometric Brownian motions modulated by a hidden continuous time finite...

The recent global financial crisis has shown portfolio correlations between agents as one of the key channels of risk contagion and amplification. In this work, we analyse the structure and dynamics of the cross-correlation matrix of banks' loan portfolios in the yearly bank-firm credit network...

In New Keynesian as well as in Post Keynesian macroeconomic models, money supply is assumed to be endogenous. The reasons for the endogeneity and the role of the financial sector in the supply process, however, are seen very different. In this paper we explicitly derive the behaviour of the...