Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as … households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal … propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change …

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other … institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR … systemic risk contribution. We argue for macro-prudential regulation based on the degree to which such characteristics forecast …

risk in which all banks choose inefficiently high leverage to fund correlated assets and market discipline is compromised … ; systemic risk ; bailout ; forbearance ; moral hazard ; capital requirements …

paper shows that using rollover risk as a disciplining device is effective only if all banks face purely idiosyncratic risk … aggregate states, but with opposite effects. -- rollover risk ; market discipline ; bank runs ; fire sales ; global games …

weaker institutions, systemic risk depends critically on the financial health of stronger institutions in the contagion chain …

the bank sector is highly procyclical, the leverage of the nonbank financial sector is acyclical. We propose a theory of a … debt to households and face risk-based capital constraints, which leads to procyclical leverage. Households can also … financialsector assets. The procyclicality of the banking sector is due to its risk-based funding constraints, which give a central …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

investors' effective risk aversion. Using this utility function, we extend the "no good deals" methodology of Cochrane and Saá … some numerical examples. -- asset pricing theory ; good-deal bounds ; Knightian uncertainty ; model uncertainty …