This theoretical model analyzes the impact of interbank credit market dynamics on the resilience of the financial system. Based on a stochastic model of interbank market credit flows, lending in the interbank market is restricted by the availability of liquidity. Following a shock...

Macroeconomic modeling in the context of a stochastic continuous-time environment has become more popular in recent years. Most of these models are based on stochastic differential equations to describe macroeconomic dynamics and stochastic uncertainty is mostly modeled by Brownian motions or...

We study the eligibility of corporate bonds as collateral for central bank operations and its effect on interbank and corporate bond markets. While money market functionality increases in the amount of eligible assets, a thorough assessment of collateral policies must also account for endogenous...

In the light of new theoretical and empirical work on the Permanent Income Hypothesis we tackle earlier findings for German data, which reject its validity given a large fraction of liquidity constrained consumers. Starting from a standard short run approach we do not find evidence for excess...

We develop a general equilibrium model of earnings, income and wealth heterogeneity in continuous time. We extend existing analytical and numerical methods to solve the model. We calibrate the model to U.S. data and find that stochastic interest rates provide a mechanism to link earnings, income...

The corporate sector has turned from a net borrowing position to a net lending position in many advanced countries over the past decades. This phenomenon is rather unusual as the corporate sector had historically borrowed funds from other sectors in the economy. In this paper, we analyze how...

In this paper, we analyze how corporate sector behavior has affected national current account balances in a sample of 25 countries for the period 1980-2015. A consistent finding is that an increase (decrease) in corporate net lending leads to an increase (decrease) in the current account,...

This contribution is concerned with efficient use of a resources if households are characterized by Stone-Geary preferences with a minimum subsistence level of consumption. We provide a closed form solution for the case of Cobb-Douglas production with constant returns to scale in reproducible...

Ageing of most societies is driven by two factors: (1) birth rates are declining and (2) people are living longer. These developments have substantial effects on economies and, in particular, on the funding of our living standards in retirement. We develop an overlapping generation model in...

Using a survey of Dutch households, we find that individuals who have experienced higher national unemployment rates over their lifetime save more and borrow less, after controlling for aggregate shocks, income, wealth, and demographics. These results are consistent with experience-based...