A Macroeconomic Model with a Financial Sector

• 成果类型: Article
• 署名作者: Brunnermeier, Markus K.; Sannikov, Yuliy
• 署名单位: Princeton University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.2.379
• 发表日期: 2014
• 页码: 379-421
• 关键词: DEBT-DEFLATION THEORY; AGENCY COSTS; security design; continuous-time; sudden stops; net worth; equilibrium; intermediation; CONTRACTS; MARKETS

摘要

This article studies the full equilibrium dynamics of an economy with financial frictions. Due to highly nonlinear amplification effects, the economy is prone to instability and occasionally enters volatile crisis episodes. Endogenous risk, driven by asset illiquidity, persists in crisis even for very low levels of exogenous risk. This phenomenon, which we call the volatility paradox, resolves the Kocherlakota (2000) critique. Endogenous leverage determines the distance to crisis. Securitization and derivatives contracts that improve risk sharing may lead to higher leverage and more frequent crises. (JEL E13, E32, E44, E52, G01, G12, G20)