The contribution of this paper is twofold. First, it reformulates the model of endogenous credit cycles by Matsuyama (2013, Sections 2-4). It is shown that the same dynamical system that generates the equilibrium trajectory can be obtained under a much simpler set of assumptions. Such a...

This paper surveys several applications of parametric copulas to market portfolios, credit portfolios, and enterprise risk management in the banking industry, focusing on how to capture stressed conditions. First, we show two simple applications for market portfolios: correlation structures for...

Quantitative monetary policy at the zero interest bound should be understood as a gbond market carry trade.h Net interest earnings on the front end of the monetary carry trade should be retained-to guard against the central bank having to create reserves (or borrow) to pay interest on reserves...

The recent financial crisis has prompted academia, country authorities, and international bodies to study quantitative tools to monitor the financial system, especially systemic risk measures. This paper aims to outline these measures and apply them to Japanfs financial system. The paper...

This paper proposes to balance considerations from welfarism and virtue ethics for normative analysis of economic models with endogenous preferences. Our framework introduces two concepts that are useful in evaluating alternative social states. First, we introduce the moral evaluation function...

We develop a variation of the macroeconomic model of banking in Gertler and Kiyotaki (2011) that allows for liquidity mismatch and bank runs as in Diamond and Dybvig (1983). As in Gertler and Kiyotaki, because bank net worth fluctuates with aggregate production, the spread between the expected...

Based on a novel quarterly dataset for 52 countries for the period 1970-2011, we analyze the use and cyclical properties of reserve requirements (RR) as a macroeconomic stabilization tool and whether RR policy substitutes or complements monetary policy. We find that (i) around two thirds of...

The four major banks (BOJ, FRB, BOE and ECB) have adopted unconventional monetary policy, or broadly-defined quantitative easing (QE), in the last several years. The broadly-defined QE can be classified into comprehensive easing (CE) and pure-QE. The former is aimed at purchasing assets of...

Traditional finance theory generally assumes a frictionless market, in which a risk premium is described only by price volatility. In reality, however, the risk premium is influenced by a range of factors including the market microstructure. This paper constructs a novel no- arbitrage and...

We investigate the economic consequences of both conditional conservatism and unconditional conservatism from the perspective of stock market investors. Specifically, we empirically analyze how these two types of conservatism affect corporate investment levels, risk taking, and shareholder value...