The globalization process leads to increasing synchronization of business cycle among different countries. As a consequence, many policy makers and Central Banks are afraid of vulnerabilities of their country arising from external risk drivers. In this paper we develop a multi-regime global VAR...

Monetary responses to financial stress have recently become an important issue in macroeconomic and policy discussions in the USA as well as in the EU. In this paper, the authors study two regimes of monetary responses. While the fundamentals of an economy are assumed to have a long-run...

We introduce a dynamic banking-macro model, which abstains from conventional mean-reversion assumptions and in which—similar to Brunnermeier and Sannikov (2010)—adverse asset-price movements and their impact on risk premia and credit spreads can induce instabilities in the banking sector. To...