This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We first introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector borrows from capital markets, issues liabilities, accumulates assets,...

We introduce a dynamic banking–macro model, which abstains from conventional mean– reversion assumptions and in which—similar to Brunnermeier and Sannikov (2010)—adverse asset–price movements and their impact on risk premia and credit spreads can induce instabilities in the banking...

Die gegenwärtigen Kontroversen zu den Auswirkungen eines Energieembargos gegen Russland, ausgelöst durch Russlands Krieg gegen die Ukraine, haben den Fokus auf die Verringerung der Abhängigkeit von fossilen Energieträgern und eine Neuordnung der Energieversorgung gelegt....

We investigate consequences of overleveraging and financial sector stress on real economic activities. When banks become vulnerable, due to high leveraging, and there is a strong feedback between the real and the financial sector, a regime of high financial stress may arise. The vulnerability of...

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector is exposed to instability due to adverse movements of asset prices and...