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...

This paper studies the issue of local instability of the banking sector and how it may spillover to the macroeconomy. The banking sector is considered here as representing a wealth fund that accumulates capital assets, can heavily borrow and pays bonuses. We presume that the banking system faces...

We investigate consequences of overleveraging and financial-sector stress on real economic activities. When banks become vulnerable, due to high leveraging, and there is a strong feedback between the real and the financial sector, a regime of high financial stress may arise. The vulnerability of...

After the financial market meltdown of the years 2007–2008 the Obama administration responded with large fiscal stimulus package, yet the reaction to this stimulus has been diverse. Some predicted a multiplier effect in the order of 1.5, others argued that the multiplier will be less than 0.5....

This paper introduces a Banking-Macro Model and estimates the linkages through a Multi-Regime VAR (MRVAR). We first introduce a dynamic model which is akin to the Brunnermeier and Sannikov (BS) model (2010). The banking sector borrows from capital markets, issues liabilities, accumulates assets,...

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...

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...

In this paper we construct a model of stock market, interest rate and output interaction which is a generalization of the well known 1981 model of Blanchard. We allow for imperfect substitutability between stocks and bonds in the asset market and for lagged portfolio adjustment. The reaction of...

Recent research in financial economics has shown that rare large disasters have the potential to disrupt financial sectors via the destruction of capital stocks and jumps in risk premia. These disruptions often entail negative feedback effects on the macroeconomy. Research on disaster risks has...

Die gegenwärtigen Kontroversen zu den Auswirkungen eines Energieembargos gegen Russland, ausgelöst durch Russlands Krieg gegen die Ukraine, haben den Fokus auf die Verringerung der Abhängigkeit von fossilen Energieträgern und eine Neuordnung der Energieversorgung gelegt....