DISCUSSION OF CAPITAL REQUIREMENTS, RISK CHOICE, AND LIQUIDITY PROVISION IN A BUSINESS CYCLE MODEL
|
|
- Scott Johns
- 5 years ago
- Views:
Transcription
1 DISCUSSION OF CAPITAL REQUIREMENTS, RISK CHOICE, AND LIQUIDITY PROVISION IN A BUSINESS CYCLE MODEL BY JULIANE BEGENAU Dmitriy Sergeyev Bocconi University and IGIER Structural Changes in the Banking Sector October 24,
2 SUMMARY This paper solves for optimal bank capital requirement in a DSGE model shows that capital requirements can be expansionary 2
3 SUMMARY This paper solves for optimal bank capital requirement in a DSGE model shows that capital requirements can be expansionary Approach build a DSGE model with various imperfections calibrate it to match macro and financial moments study optimal capital requirements conditional on other policies 2
4 SUMMARY This paper solves for optimal bank capital requirement in a DSGE model shows that capital requirements can be expansionary Approach build a DSGE model with various imperfections calibrate it to match macro and financial moments study optimal capital requirements conditional on other policies Important question. Very nice paper. 2
5 SUMMARY This paper solves for optimal bank capital requirement in a DSGE model shows that capital requirements can be expansionary Approach build a DSGE model with various imperfections calibrate it to match macro and financial moments study optimal capital requirements conditional on other policies Important question. Very nice paper. Discussion A Simple two-period model Variation in government debt Other frictions 2
6 Time: t = 0, 1 SIMPLE MODEL Goods (that enter utility function) Assets perishable consumption: c0, c 1 bank debt: s c 0, s b 0 Agents Markets physical capital (not traded): k0 bank equity (not traded) bank debt households: bankers and consumers (a.k.a. Lucas family) goods market: p = 1 bank debt market: R0 Technology: y 1 = zk0 ν, ν (0, 1) Uncertainty: No Endowment: E 0, E 1 3
7 BANKER-CONSUMER PROBLEM max c 0,c 1,s c 0,sb 0,k 0 c 0 + βc 1 + θ ( s c 0 ) 1 η 1 η s.t.: k 0 + c 0 + s c 0 E 0 + s b 0 c 1 + T 1 E 1 + R 0 s c 0 + zkν 0 R 0s b 0 + τsb 0 }{{} TR 1 s b 0 (1 ξ)k 0 (ψ) Notation s c 0 s b 0 - consumer choice of bank debt - banker choice of debt TR 1 = τs b 0 - tax benefits of debt issuance ξ (0, 1) - capital requirements T 1 - taxes Observe: no government debt 4
8 BANKER-CONSUMER PROBLEM SOLUTION 5
9 BANKER-CONSUMER PROBLEM SOLUTION θ (s c 0 ) η = 1 βr 0 (debt demand) 5
10 BANKER-CONSUMER PROBLEM SOLUTION θ (s c 0 ) η = 1 βr 0 (debt demand) ( ) s b ν 1 1 = βzν 0 + [1 β(r 1 0 τ)] (1 ξ) (debt supply) ξ }{{}}{{} =ψ>0 =k0 ν 1 5
11 BANKER-CONSUMER PROBLEM SOLUTION θ (s c 0 ) η = 1 βr 0 (debt demand) ( ) s b ν 1 1 = βzν 0 + [1 β(r 1 0 τ)] (1 ξ) (debt supply) ξ }{{}}{{} =ψ>0 =k0 ν 1 An equilibrium is (c 0, c 1, s c 0, sb 0, k 0, T, τ) and R 0 such that agents maximize given R 0, T, τ markets clear bank debt: s b 0 = s c 0 consumption goods: c0 + k 0 = E 0, c 1 = E 1 + zk ν 0 government respects T = τs b 0 5
12 EQUILIBRIUM k 0 = s 0 1 ξ 6
13 INCREASE IN CAPITAL REQUIREMENTS 7
14 INCREASE IN CAPITAL REQUIREMENTS dr 0 dξ < 0, ds 0 dξ < 0, dk 0 dξ = d ( ) s0 0 dξ 1 ξ 7
15 INCREASE IN CAPITAL REQUIREMENTS dr 0 dξ < 0, ds 0 dξ < 0, dk 0 dξ = d ( ) s0 0 dξ 1 ξ [ ] dk0 dξ > 0 iff η > 1 7
16 OPTIMAL CAPITAL REQUIREMENTS Household utility = regulator s objective Regulator s optimum W = E 0 k 0 + β (E 1 + zk ν 0 ) + v(s 0) dw = βτ ds 0 ψk 0 = 0 dξ eq um dξ }{{} <0 Intuition: higher ξ reduces bank debt s 0 which (+) reduces social losses due to government subsidy ( ) increases social losses due to capital requirements constraint 8
17 1. VARIATION IN GOVERNMENT DEBT Source: Krishnamurthy, Vissing-Jorgensen (2013) 9
18 1. VARIATION IN GOVERNMENT DEBT Empirical regularity is consistent with the model Government debt is an important state variable for regulators How does capital requirement varies with government debt? Should the policy be stricter after QE? Government debt is not included in the utility function Why? Does it matter? 10
19 2. OTHER FRICTIONS? In the paper: government transfers is the friction to be corrected There are other frictions in the literature Pecuniary externalities [Stein (2012)] Limited commitment [Gertler, Kiyotaki (2010)] Asymmetric information [Christiano, Ikeda (2013)] Which one is the most important? 11
20 SUMMARY 1. Very nice paper on extremely important topic 2. Key contributions of the paper optimal capital requirements in a DSGE model capital requirements can be expansionary 3. Main comments variation in government debt why present friction is the most important? 12
Bank Leverage and Social Welfare
Bank Leverage and Social Welfare By LAWRENCE CHRISTIANO AND DAISUKE IKEDA We describe a general equilibrium model in which there is a particular agency problem in banks. The agency problem arises because
More informationMulti-Dimensional Monetary Policy
Multi-Dimensional Monetary Policy Michael Woodford Columbia University John Kuszczak Memorial Lecture Bank of Canada Annual Research Conference November 3, 2016 Michael Woodford (Columbia) Multi-Dimensional
More informationFinancial Amplification, Regulation and Long-term Lending
Financial Amplification, Regulation and Long-term Lending Michael Reiter 1 Leopold Zessner 2 1 Instiute for Advances Studies, Vienna 2 Vienna Graduate School of Economics Barcelona GSE Summer Forum ADEMU,
More informationLecture Notes. Petrosky-Nadeau, Zhang, and Kuehn (2015, Endogenous Disasters) Lu Zhang 1. BUSFIN 8210 The Ohio State University
Lecture Notes Petrosky-Nadeau, Zhang, and Kuehn (2015, Endogenous Disasters) Lu Zhang 1 1 The Ohio State University BUSFIN 8210 The Ohio State University Insight The textbook Diamond-Mortensen-Pissarides
More informationA Macroeconomic Framework for Quantifying Systemic Risk. June 2012
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He Arvind Krishnamurthy University of Chicago & NBER Northwestern University & NBER June 212 Systemic Risk Systemic risk: risk (probability)
More informationA Model of Financial Intermediation
A Model of Financial Intermediation Jesús Fernández-Villaverde University of Pennsylvania December 25, 2012 Jesús Fernández-Villaverde (PENN) A Model of Financial Intermediation December 25, 2012 1 / 43
More informationCapital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model
Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model Juliane Begenau Harvard Business School July 11, 2015 1 Motivation How to regulate banks? Capital requirement: min equity/
More informationA Macroeconomic Framework for Quantifying Systemic Risk
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He, University of Chicago and NBER Arvind Krishnamurthy, Northwestern University and NBER December 2013 He and Krishnamurthy (Chicago, Northwestern)
More informationTwo-Period Version of Gertler- Karadi, Gertler-Kiyotaki Financial Friction Model
Two-Period Version of Gertler- Karadi, Gertler-Kiyotaki Financial Friction Model Lawrence J. Christiano Summary of Christiano-Ikeda, 2012, Government Policy, Credit Markets and Economic Activity, in Federal
More informationBooms and Banking Crises
Booms and Banking Crises F. Boissay, F. Collard and F. Smets Macro Financial Modeling Conference Boston, 12 October 2013 MFM October 2013 Conference 1 / Disclaimer The views expressed in this presentation
More informationOptimal Time-Consistent Macroprudential Policy
Optimal Time-Consistent Macroprudential Policy Javier Bianchi Minneapolis Fed & NBER Enrique G. Mendoza Univ. of Pennsylvania, NBER & PIER Why study macroprudential policy? MPP has gained relevance as
More informationNobel Symposium Money and Banking
Nobel Symposium Money and Banking https://www.houseoffinance.se/nobel-symposium May 26-28, 2018 Clarion Hotel Sign, Stockholm Money and Banking: Some DSGE Challenges Nobel Symposium on Money and Banking
More informationA Macroeconomic Framework for Quantifying Systemic Risk
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He, University of Chicago and NBER Arvind Krishnamurthy, Stanford University and NBER Bank of Canada, August 2017 He and Krishnamurthy (Chicago,
More informationAnatomy of a Credit Crunch: from Capital to Labor Markets
Anatomy of a Credit Crunch: from Capital to Labor Markets Francisco Buera 1 Roberto Fattal Jaef 2 Yongseok Shin 3 1 Federal Reserve Bank of Chicago and UCLA 2 World Bank 3 Wash U St. Louis & St. Louis
More informationInterbank Market Turmoils and the Macroeconomy 1
Interbank Market Turmoils and the Macroeconomy 1 Paweł Kopiec Narodowy Bank Polski 1 The views presented in this paper are those of the author, and should not be attributed to Narodowy Bank Polski. Intro
More informationOverborrowing, Financial Crises and Macro-prudential Policy. Macro Financial Modelling Meeting, Chicago May 2-3, 2013
Overborrowing, Financial Crises and Macro-prudential Policy Javier Bianchi University of Wisconsin & NBER Enrique G. Mendoza Universtiy of Pennsylvania & NBER Macro Financial Modelling Meeting, Chicago
More informationMonetary policy and the asset risk-taking channel
Monetary policy and the asset risk-taking channel Angela Abbate 1 Dominik Thaler 2 1 Deutsche Bundesbank and European University Institute 2 European University Institute Trinity Workshop, 7 November 215
More informationDelayed Capital Reallocation
Delayed Capital Reallocation Wei Cui University College London Introduction Motivation Less restructuring in recessions (1) Capital reallocation is sizeable (2) Capital stock reallocation across firms
More informationThe Role of the Net Worth of Banks in the Propagation of Shocks
The Role of the Net Worth of Banks in the Propagation of Shocks Preliminary Césaire Meh Department of Monetary and Financial Analysis Bank of Canada Kevin Moran Université Laval The Role of the Net Worth
More informationA Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 September 218 1 The views expressed in this paper are those of the
More informationForeign Competition and Banking Industry Dynamics: An Application to Mexico
Foreign Competition and Banking Industry Dynamics: An Application to Mexico Dean Corbae Pablo D Erasmo 1 Univ. of Wisconsin FRB Philadelphia June 12, 2014 1 The views expressed here do not necessarily
More informationTaxing Firms Facing Financial Frictions
Taxing Firms Facing Financial Frictions Daniel Wills 1 Gustavo Camilo 2 1 Universidad de los Andes 2 Cornerstone November 11, 2017 NTA 2017 Conference Corporate income is often taxed at different sources
More informationOverborrowing, Financial Crises and Macro-prudential Policy
Overborrowing, Financial Crises and Macro-prudential Policy Javier Bianchi University of Wisconsin Enrique G. Mendoza University of Maryland & NBER The case for macro-prudential policies Credit booms are
More informationThe I Theory of Money
The I Theory of Money Markus K. Brunnermeier & Yuliy Sannikov Princeton University CSEF-IGIER Symposium Capri, June 24 th, 2015 Motivation Framework to study monetary and financial stability Interaction
More informationIntermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko
Intermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko The views presented here are the authors and are not representative of the views of the Federal Reserve Bank of New
More informationMisallocation Costs of Digging Deeper into the Central Bank Toolkit
Misallocation Costs of Digging Deeper into the Central Bank Toolkit Robert Kurtzman 1 and David Zeke 2 1 Federal Reserve Board of Governors 2 University of Southern California May 4, 2017 Abstract This
More informationBanking, Trade, and the Making of a Dominant Currency 1 / 30
Banking, Trade, and the Making of a Dominant Currency Gita Gopinath Harvard Jeremy Stein Harvard 1 / 30 What is a Dominant Currency? 1 Trade invoicing 2 / 30 What is a Dominant Currency? 1 Trade invoicing
More informationFinancial Regulation in a Quantitative Model of the Modern Banking System
Financial Regulation in a Quantitative Model of the Modern Banking System Juliane Begenau HBS Tim Landvoigt UT Austin CITE August 14, 2015 1 Flow of Funds: total nancial assets 22 20 18 16 $ Trillion 14
More informationA Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 March 218 1 The views expressed in this paper are those of the authors
More informationUncertainty, Liquidity and Financial Cycles
Uncertainty, Liquidity and Financial Cycles Ge Zhou Zhejiang University Jan 2019, ASSA Ge Zhou (Zhejiang University) Uncertainty, Liquidity and Financial Cycles Jan 2019 1 / 26 2500.00 Recession SP 500
More informationIntermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko
Intermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko The views presented here are the authors and are not representative of the views of the Federal Reserve Bank of New
More information1. Borrowing Constraints on Firms The Financial Accelerator
Part 7 1. Borrowing Constraints on Firms The Financial Accelerator The model presented is a modifed version of Jermann-Quadrini (27). Earlier papers: Kiyotaki and Moore (1997), Bernanke, Gertler and Gilchrist
More informationLiquidity Regulation and Unintended Financial Transformation in China
Liquidity Regulation and Unintended Financial Transformation in China Kinda Cheryl Hachem Zheng (Michael) Song Chicago Booth Chinese University of Hong Kong First Research Workshop on China s Economy April
More informationDiscussion by J.C.Rochet (SFI,UZH and TSE) Prepared for the Swissquote Conference 2012 on Liquidity and Systemic Risk
Discussion by J.C.Rochet (SFI,UZH and TSE) Prepared for the Swissquote Conference 2012 on Liquidity and Systemic Risk 1 Objectives of the paper Develop a theoretical model of bank lending that allows to
More informationA Macroeconomic Framework for Quantifying Systemic Risk
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He, University of Chicago and NBER Arvind Krishnamurthy, Northwestern University and NBER May 2013 He and Krishnamurthy (Chicago, Northwestern)
More informationConcerted Efforts? Monetary Policy and Macro-Prudential Tools
Concerted Efforts? Monetary Policy and Macro-Prudential Tools Andrea Ferrero Richard Harrison Benjamin Nelson University of Oxford Bank of England Rokos Capital 20 th Central Bank Macroeconomic Modeling
More informationNews Shocks and Asset Price Volatility in a DSGE Model
News Shocks and Asset Price Volatility in a DSGE Model Akito Matsumoto 1 Pietro Cova 2 Massimiliano Pisani 2 Alessandro Rebucci 3 1 International Monetary Fund 2 Bank of Italy 3 Inter-American Development
More informationOptimal Credit Market Policy. CEF 2018, Milan
Optimal Credit Market Policy Matteo Iacoviello 1 Ricardo Nunes 2 Andrea Prestipino 1 1 Federal Reserve Board 2 University of Surrey CEF 218, Milan June 2, 218 Disclaimer: The views expressed are solely
More informationIntermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko
Intermediary Leverage Cycles and Financial Stability Tobias Adrian and Nina Boyarchenko The views presented here are the authors and are not representative of the views of the Federal Reserve Bank of New
More informationThe Global Rise of Corporate Saving
The Global Rise of Corporate Saving Peter Chen Loukas Karabarbounis Brent Neiman University of Chicago University of Minnesota University of Chicago January 2017 This paper 1 Global rise of corporate saving
More informationFinancial Intermediation and Capital Reallocation
Financial Intermediation and Capital Reallocation Hengjie Ai, Kai Li, and Fang Yang NBER Summer Institute, Asset Pricing July 09, 2015 1 / 19 Financial Intermediation and Capital Reallocation Motivation
More informationQuantitative Easing and Financial Stability
Quantitative Easing and Financial Stability Michael Woodford Columbia University Nineteenth Annual Conference Central Bank of Chile November 19-20, 2015 Michael Woodford (Columbia) Financial Stability
More informationProblem set Fall 2012.
Problem set 1. 14.461 Fall 2012. Ivan Werning September 13, 2012 References: 1. Ljungqvist L., and Thomas J. Sargent (2000), Recursive Macroeconomic Theory, sections 17.2 for Problem 1,2. 2. Werning Ivan
More informationExchange Rate Adjustment in Financial Crises
Exchange Rate Adjustment in Financial Crises Michael B. Devereux 1 Changhua Yu 2 1 University of British Columbia 2 Peking University Swiss National Bank June 2016 Motivation: Two-fold Crises in Emerging
More informationConsumption Dynamics, Housing Collateral and Stabilisation Policy
Consumption Dynamics, Housing Collateral and Stabilisation Policy A Way Forward for Macro-Prudential Instruments? Effective Macroprudential Instruments - CFCM-MMF-MMPM Conference Jagjit S. Chadha University
More informationMacroprudential Policies in a Low Interest-Rate Environment
Macroprudential Policies in a Low Interest-Rate Environment Margarita Rubio 1 Fang Yao 2 1 University of Nottingham 2 Reserve Bank of New Zealand. The views expressed in this paper do not necessarily reflect
More informationEndogenous Liquidity Supply 1
Endogenous Liquidity Supply 1 Ravi Bansal 2 Wilbur John Coleman II 3 Christian T. Lundblad 4 August 2010 Preliminary and Incomplete: Please do not circulate. 1 A prior version of this paper was titled
More informationBanks and Liquidity Crises in Emerging Market Economies
Banks and Liquidity Crises in Emerging Market Economies Tarishi Matsuoka Tokyo Metropolitan University May, 2015 Tarishi Matsuoka (TMU) Banking Crises in Emerging Market Economies May, 2015 1 / 47 Introduction
More informationBank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada
Bank Capital, Agency Costs, and Monetary Policy Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Motivation A large literature quantitatively studies the role of financial
More informationMacroprudential Policy Implementation in a Heterogeneous Monetary Union
Macroprudential Policy Implementation in a Heterogeneous Monetary Union Margarita Rubio University of Nottingham ECB conference on "Heterogenity in currency areas and macroeconomic policies" - 28-29 November
More informationEstimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Gianluca Benigno 1 Andrew Foerster 2 Christopher Otrok 3 Alessandro Rebucci 4 1 London School of Economics and
More informationA Macroeconomic Framework for Quantifying Systemic Risk
A Macroeconomic Framework for Quantifying Systemic Risk Zhiguo He, University of Chicago and NBER Arvind Krishnamurthy, Northwestern University and NBER November 2012 He and Krishnamurthy (Chicago, Northwestern)
More informationThe Transmission of Monetary Policy through Redistributions and Durable Purchases
The Transmission of Monetary Policy through Redistributions and Durable Purchases Vincent Sterk and Silvana Tenreyro UCL, LSE September 2015 Sterk and Tenreyro (UCL, LSE) OMO September 2015 1 / 28 The
More informationFiscal Devaluations. Emmanuel Farhi Gita Gopinath Oleg Itskhoki Harvard Harvard Princeton. Cambridge University April / 23
Fiscal Devaluations Emmanuel Farhi Gita Gopinath Oleg Itskhoki Harvard Harvard Princeton Cambridge University April 2013 1 / 23 Motivation Currency devaluation: response to loss of competitiveness New
More informationInternational Monetary Theory: Mundell Fleming Redux
International Monetary Theory: Mundell Fleming Redux by Markus K. Brunnermeier and Yuliy Sannikov Princeton and Stanford University Princeton Initiative Princeton, Sept. 9 th, 2017 Motivation Global currency
More informationUnconventional Monetary Policy
Unconventional Monetary Policy Mark Gertler (based on joint work with Peter Karadi) NYU October 29 Old Macro Analyzes pre versus post 1984:Q4. 1 New Macro Analyzes pre versus post August 27 Post August
More informationAggregate Bank Capital and Credit Dynamics
Aggregate Bank Capital and Credit Dynamics N. Klimenko S. Pfeil J.-C. Rochet G. De Nicolò (Zürich) (Bonn) (Zürich, SFI and TSE) (IMF and CESifo) MFM Winter 2016 Meeting The views expressed in this paper
More informationTwo-Period Version of Gertler- Karadi, Gertler-Kiyotaki Financial Friction Model. Lawrence J. Christiano
Two-Period Version of Gertler- Karadi, Gertler-Kiyotaki Financial Friction Model Lawrence J. Christiano Motivation Beginning in 2007 and then accelerating in 2008: Asset values (particularly for banks)
More informationExamining the Bond Premium Puzzle in a DSGE Model
Examining the Bond Premium Puzzle in a DSGE Model Glenn D. Rudebusch Eric T. Swanson Economic Research Federal Reserve Bank of San Francisco John Taylor s Contributions to Monetary Theory and Policy Federal
More informationTrade and Capital Flows: A Financial Frictions Perspective
Trade and Capital Flows: A Financial Frictions Perspective Pol Antras and Ricardo Caballero Michael Peters International Breakfast, MIT, Spring 2010 Motivation of the Paper Classical HO view: Trade and
More informationDoes the Social Safety Net Improve Welfare? A Dynamic General Equilibrium Analysis
Does the Social Safety Net Improve Welfare? A Dynamic General Equilibrium Analysis University of Western Ontario February 2013 Question Main Question: what is the welfare cost/gain of US social safety
More informationHousing Prices and Growth
Housing Prices and Growth James A. Kahn June 2007 Motivation Housing market boom-bust has prompted talk of bubbles. But what are fundamentals? What is the right benchmark? Motivation Housing market boom-bust
More informationAchieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals
Achieving Actuarial Balance in Social Security: Measuring the Welfare Effects on Individuals Selahattin İmrohoroğlu 1 Shinichi Nishiyama 2 1 University of Southern California (selo@marshall.usc.edu) 2
More informationLiquidity Insurance in Macro. Heitor Almeida University of Illinois at Urbana- Champaign
Liquidity Insurance in Macro Heitor Almeida University of Illinois at Urbana- Champaign Motivation Renewed attention to financial frictions in general and role of banks in particular Existing models model
More informationOptimal Monetary Policy in a Sudden Stop
... Optimal Monetary Policy in a Sudden Stop with Jorge Roldos (IMF) and Fabio Braggion (Northwestern, Tilburg) 1 Modeling Issues/Tools Small, Open Economy Model Interaction Between Asset Markets and Monetary
More informationCapital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model
Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model The Harvard community has made this article openly available. Please share how this access benefits you. Your story
More informationLiquidity and the Threat of Fraudulent Assets
Liquidity and the Threat of Fraudulent Assets Yiting Li, Guillaume Rocheteau, Pierre-Olivier Weill May 2015 Liquidity and the Threat of Fraudulent Assets Yiting Li, Guillaume Rocheteau, Pierre-Olivier
More informationHousehold Debt, Financial Intermediation, and Monetary Policy
Household Debt, Financial Intermediation, and Monetary Policy Shutao Cao 1 Yahong Zhang 2 1 Bank of Canada 2 Western University October 21, 2014 Motivation The US experience suggests that the collapse
More informationHow Effectively Can Debt Covenants Alleviate Financial Agency Problems?
How Effectively Can Debt Covenants Alleviate Financial Agency Problems? Andrea Gamba Alexander J. Triantis Corporate Finance Symposium Cambridge Judge Business School September 20, 2014 What do we know
More informationThe Liquidity Effect in Bank-Based and Market-Based Financial Systems. Johann Scharler *) Working Paper No October 2007
DEPARTMENT OF ECONOMICS JOHANNES KEPLER UNIVERSITY OF LINZ The Liquidity Effect in Bank-Based and Market-Based Financial Systems by Johann Scharler *) Working Paper No. 0718 October 2007 Johannes Kepler
More information1 Explaining Labor Market Volatility
Christiano Economics 416 Advanced Macroeconomics Take home midterm exam. 1 Explaining Labor Market Volatility The purpose of this question is to explore a labor market puzzle that has bedeviled business
More informationMoney in a Neoclassical Framework
Money in a Neoclassical Framework Noah Williams University of Wisconsin-Madison Noah Williams (UW Madison) Macroeconomic Theory 1 / 21 Money Two basic questions: 1 Modern economies use money. Why? 2 How/why
More informationCapital Flows, Financial Intermediation and Macroprudential Policies
Capital Flows, Financial Intermediation and Macroprudential Policies Matteo F. Ghilardi International Monetary Fund 14 th November 2014 14 th November Capital Flows, 2014 Financial 1 / 24 Inte Introduction
More informationOptimal Monetary Policy Rules and House Prices: The Role of Financial Frictions
Optimal Monetary Policy Rules and House Prices: The Role of Financial Frictions A. Notarpietro S. Siviero Banca d Italia 1 Housing, Stability and the Macroeconomy: International Perspectives Dallas Fed
More informationDo Low Interest Rates Sow the Seeds of Financial Crises?
Do Low nterest Rates Sow the Seeds of Financial Crises? Simona Cociuba, University of Western Ontario Malik Shukayev, Bank of Canada Alexander Ueberfeldt, Bank of Canada Second Boston University-Boston
More informationFirm Heterogeneity and the Long-Run E ects of Dividend Tax Reform
Firm Heterogeneity and the Long-Run E ects of Dividend Tax Reform F. Gourio and J. Miao Presented by Román Fossati Universidad Carlos III November 2009 Fossati Román (Universidad Carlos III) Firm Heterogeneity
More informationIntermediary Asset Pricing
Intermediary Asset Pricing Z. He and A. Krishnamurthy - AER (2012) Presented by Omar Rachedi 18 September 2013 Introduction Motivation How to account for risk premia? Standard models assume households
More informationThe International Transmission of Credit Bubbles: Theory and Policy
The International Transmission of Credit Bubbles: Theory and Policy Alberto Martin and Jaume Ventura CREI, UPF and Barcelona GSE March 14, 2015 Martin and Ventura (CREI, UPF and Barcelona GSE) BIS Research
More informationFiscal Austerity Measures: Spending Cuts vs. Tax Increases
Fiscal Austerity Measures: Spending Cuts vs. Tax Increases Gerhard Glomm Juergen Jung Chung Tran Indiana University Towson University Australian National University September 2013 Glomm, Jung and Tran
More informationA Model with Costly Enforcement
A Model with Costly Enforcement Jesús Fernández-Villaverde University of Pennsylvania December 25, 2012 Jesús Fernández-Villaverde (PENN) Costly-Enforcement December 25, 2012 1 / 43 A Model with Costly
More informationProblem set 1 ECON 4330
Problem set ECON 4330 We are looking at an open economy that exists for two periods. Output in each period Y and Y 2 respectively, is given exogenously. A representative consumer maximizes life-time utility
More informationFiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba
1 / 52 Fiscal Multipliers in Recessions M. Canzoneri, F. Collard, H. Dellas and B. Diba 2 / 52 Policy Practice Motivation Standard policy practice: Fiscal expansions during recessions as a means of stimulating
More informationCredit Booms, Financial Crises and Macroprudential Policy
Credit Booms, Financial Crises and Macroprudential Policy Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 March 219 1 The views expressed in this paper are those
More informationCredit Frictions and Optimal Monetary Policy. Vasco Curdia (FRB New York) Michael Woodford (Columbia University)
MACRO-LINKAGES, OIL PRICES AND DEFLATION WORKSHOP JANUARY 6 9, 2009 Credit Frictions and Optimal Monetary Policy Vasco Curdia (FRB New York) Michael Woodford (Columbia University) Credit Frictions and
More informationLeverage Restrictions in a Business Cycle Model. March 13-14, 2015, Macro Financial Modeling, NYU Stern.
Leverage Restrictions in a Business Cycle Model Lawrence J. Christiano Daisuke Ikeda Northwestern University Bank of Japan March 13-14, 2015, Macro Financial Modeling, NYU Stern. Background Wish to address
More informationLiquidity Regulation and Credit Booms: Theory and Evidence from China. JRCPPF Sixth Annual Conference February 16-17, 2017
Liquidity Regulation and Credit Booms: Theory and Evidence from China Kinda Hachem Chicago Booth and NBER Zheng Michael Song Chinese University of Hong Kong JRCPPF Sixth Annual Conference February 16-17,
More informationFiscal /Monetary Interactions: Liquid Bonds
Fiscal /Monetary Interactions: Liquid Bonds Behzad Diba Study Center Gerzensee August 2011 (Institute) Fiscal /Monetary Interactions: Liquid Bonds August 2011 1 / 11 Money and Government Bonds Standard
More informationLorenzoni [2008] 1 The model. Econ 235, Spring Preferences and endowments. 1.2 Technology. Consumers: Preferences u = c 0 + c 1 + c 2
Lorenzoni [2008] Econ 235, Spring 2013 1 The model 1.1 Preferences and endowments Consumers: Preferences u = c 0 + c 1 + c 2 Endowment: Deep pockets Entrepreneurs: Preferences: u = c 2 Endowment: n at
More informationPayments, Credit & Asset Prices
Payments, Credit & Asset Prices Monika Piazzesi Stanford & NBER Martin Schneider Stanford & NBER CITE August 13, 2015 Piazzesi & Schneider Payments, Credit & Asset Prices CITE August 13, 2015 1 / 31 Dollar
More informationChapter 5 Macroeconomics and Finance
Macro II Chapter 5 Macro and Finance 1 Chapter 5 Macroeconomics and Finance Main references : - L. Ljundqvist and T. Sargent, Chapter 7 - Mehra and Prescott 1985 JME paper - Jerman 1998 JME paper - J.
More informationNot All Oil Price Shocks Are Alike: A Neoclassical Perspective
Not All Oil Price Shocks Are Alike: A Neoclassical Perspective Vipin Arora Pedro Gomis-Porqueras Junsang Lee U.S. EIA Deakin Univ. SKKU December 16, 2013 GRIPS Junsang Lee (SKKU) Oil Price Dynamics in
More informationFinancial intermediaries in an estimated DSGE model for the UK
Financial intermediaries in an estimated DSGE model for the UK Stefania Villa a Jing Yang b a Birkbeck College b Bank of England Cambridge Conference - New Instruments of Monetary Policy: The Challenges
More informationOptimal margins and equilibrium prices
Optimal margins and equilibrium prices Bruno Biais Florian Heider Marie Hoerova Toulouse School of Economics ECB ECB Bocconi Consob Conference Securities Markets: Trends, Risks and Policies February 26,
More informationMacro, Money and Finance: A Continuous Time Approach
Macro, Money and Finance: A Continuous Time Approach Markus K. Brunnermeier & Yuliy Sannikov Princeton University International Credit Flows, Trinity of Stability Conference Princeton, Nov. 6 th, 2015
More informationLecture Notes. Macroeconomics - ECON 510a, Fall 2010, Yale University. A Neo-Classical Benchmark Economy. Guillermo Ordoñez Yale University
Lecture Notes Macroeconomics - ECON 510a, Fall 2010, Yale University A Neo-Classical Benchmark Economy Guillermo Ordoñez Yale University October 31, 2010 1 The Neo-Classical Benchmark In these notes, we
More informationFiscal Consolidations in Currency Unions: Spending Cuts Vs. Tax Hikes
Fiscal Consolidations in Currency Unions: Spending Cuts Vs. Tax Hikes Christopher J. Erceg and Jesper Lindé Federal Reserve Board June, 2011 Erceg and Lindé (Federal Reserve Board) Fiscal Consolidations
More informationFinancial Crises, Dollarization and Lending of Last Resort in Open Economies
Financial Crises, Dollarization and Lending of Last Resort in Open Economies Luigi Bocola Stanford, Minneapolis Fed, and NBER Guido Lorenzoni Northwestern and NBER Restud Tour Reunion Conference May 2018
More informationHabit Formation in State-Dependent Pricing Models: Implications for the Dynamics of Output and Prices
Habit Formation in State-Dependent Pricing Models: Implications for the Dynamics of Output and Prices Phuong V. Ngo,a a Department of Economics, Cleveland State University, 22 Euclid Avenue, Cleveland,
More informationEfficient Bailouts? Javier Bianchi. Wisconsin & NYU
Efficient Bailouts? Javier Bianchi Wisconsin & NYU Motivation Large interventions in credit markets during financial crises Fierce debate about desirability of bailouts Supporters: salvation from a deeper
More informationAggregate Bank Capital and Credit Dynamics
Aggregate Bank Capital and Credit Dynamics N. Klimenko S. Pfeil J.-C. Rochet G. De Nicolò (Zürich) (Bonn) (Zürich, SFI and TSE) (IMF and CESifo) March 2016 The views expressed in this paper are those of
More information