| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11329 |
| DP11329 Macro, Money and Finance: A Continuous Time Approach | |
| Markus Brunnermeier; Yuliy Sannikov | |
| 发表日期 | 2016-06-15 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This paper puts forward a manual for how to set up and solve a continuous time model that allows one 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. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Macroeconomic modeling Monetary economics (inside) money Endogenous risk dynamics Volatility paradox Paradox of prudence Financial frictions |
| URL | https://cepr.org/publications/dp11329 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540145 |
| 推荐引用方式 GB/T 7714 | Markus Brunnermeier,Yuliy Sannikov. DP11329 Macro, Money and Finance: A Continuous Time Approach. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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