Replication data for: A Macroeconomic Model with a Financial Sector
Principal Investigator(s): View help for Principal Investigator(s) Markus K. Brunnermeier; Yuliy Sannikov
Version: View help for Version V1
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Project Citation:
Brunnermeier, Markus K., and Sannikov, Yuliy. Replication data for: A Macroeconomic Model with a Financial Sector. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112732V1
Project Description
Summary:
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This article studies the full equilibrium dynamics of an economy with
financial frictions. Due to highly nonlinear amplification effects, the
economy is prone to instability and occasionally enters volatile crisis
episodes. Endogenous risk, driven by asset illiquidity, persists
in crisis even for very low levels of exogenous risk. This phenomenon,
which we call the volatility paradox, resolves the Kocherlakota
(2000) critique. Endogenous leverage determines the distance to crisis.
Securitization and derivatives contracts that improve risk sharing
may lead to higher leverage and more frequent crises.
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G01 Financial Crises
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G20 Financial Institutions and Services: General
E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G01 Financial Crises
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G20 Financial Institutions and Services: General
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