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Welfare Costs of Idiosyncratic and Aggregate Consumption Shocks

Constantinides, George M. - 2021

I estimate welfare benefits of eliminating idiosyncratic consumption shocks unrelated to the business cycle as 47.3% of household utility and benefits of eliminating idiosyncratic shocks related to the business cycle as 3.4% of utility. Estimates of the former substantially exceed earlier ones...

Persistent link: https://www.econbiz.de/10013219845

Slow recoveries, endogenous growth and macroprudential policy

Bonciani, Dario; Gauthier, David; Kanngiesser, Derrick - 2021

Banking crises have severe short and long‑term consequences. We develop a general equilibrium model with financial frictions and endogenous growth in which macroprudential policy supports economic activity and productivity growth by strengthening bank’s resilience to adverse financial...

Persistent link: https://www.econbiz.de/10013230237

Banks' leverage behaviour in a two-agent New Keynesian model

Boitani, Andrea; Punzo, Chiara - 2018

consumption, as might be expected in a non-Modigliani-Miller world. Different banks' behaviour after a shock has widely different … effects on the macroeconomic dynamics: passive leverage results to be shock absorbing and capable of neutralizing an initial … financial shock, whilst procyclical behaviour implies higher and more persistent instability and distributive effects than the …

Persistent link: https://www.econbiz.de/10011790871

Slow Recoveries, Endogenous Growth and Policy

Bonciani, Dario - 2020

We study the interaction between financial frictions and endogenous growth and its implications for conventional and unconventional monetary policy as well as macroprudentialpolicy. We show that disturbances to financial intermediation can lead to permanent lossesin output, which are more severe...

Persistent link: https://www.econbiz.de/10012832360

A Macro-Finance Model on Bankers' Asset and Liability Management with Liquidity Concerns

Fan, Yiran - 2020

This paper develops a dynamic general equilibrium model on the interaction of bankers' asset and liability management with liquidity constraint. Bankers screen real production projects and issue deposits. The liquidity constraint stems from early withdrawals of deposits. To fill the liquidity...

Persistent link: https://www.econbiz.de/10012838660

Self-fulfilling liquidity dry-ups

Malherbe, Frédéric - 2010

Persistent link: https://www.econbiz.de/10003939416

Self-fulfilling liquidity dry-ups

Malherbe, Frédéric - 2010

Secondary markets for long-term assets might be illiquid due to adverse selection. In a model in which moral hazard is confined to project initiation, I find that: (1) when agents expect a liquidity dry-up on such markets, they optimally choose to self-insure through the hoarding of...

Persistent link: https://www.econbiz.de/10011597031

Causes of financial instability

Bezemer, Dirk Johan - 2011

Given the economy's complex behavior and sudden transitions as evidenced in the 2007-08 crisis, agent-based models are widely considered a promising alternative to current macroeconomic practice dominated by DSGE models. Their failure is commonly interpreted as a failure to incorporate...

Persistent link: https://www.econbiz.de/10008933468

Monetary Policy and Large Crises in a Financial Accelerator Agent-Based Model

Giri, Federico - 2019

An accommodating monetary policy followed by a sudden increase of the short term interest rate often leads to a bubble burst and to an economic slowdown. Two examples are the Great Depression of 1929 and the Great Recession of 2008. Through the implementation of an Agent Based Model with a...

Persistent link: https://www.econbiz.de/10012903445

The Empirical Performance of the Financial Accelerator Since 2008

Boehl, Gregor; Strobel, Felix - 2022

We use nonlinear Bayesian methods to evaluate the performance of financial frictions á la Bernanke et al. (1999) during and after the Global Financial Crisis. We find that, despite the attention received in the literature, including these frictions in the canonical medium-scale DSGE model does...

Persistent link: https://www.econbiz.de/10013405102