Macro, Money, and Finance

Chapter Chapter 18 in Handbook of Macroeconomics, 2016, vol. 2, pp 1497-1545 from Elsevier

Abstract: This chapter puts forward a manual for how to setup and solve a continuous time model that allows to analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility Paradox. Concepts such as (4) illiquidity and liquidity mismatch, (5) endogenous leverage, (6) the Paradox of Prudence, (7) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis. Financial frictions also give rise to an endogenous (10) value of money.

Keywords: Macroeconomic modeling; Monetary Economics; (Inside) Money; Endogenous Risk Dynamics; Volatility paradox; Paradox of Prudence; Financial frictions; C63; E32; E41; E44; E51; G01; G11; G20 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:macchp:v2-1497

DOI: 10.1016/bs.hesmac.2016.06.002

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