Macro,Money&Finance

Online-Live Course

1. Introduction

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Real Models with Financial Frictions

 

 

2. A Simple Macro-Finance Model in Continuous Time

 

 

 

    Merkel Review Session

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Problem Set #0

Stochastic Calculus Basics

Problem Set #1

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3. Macro-Finance Model with Heterogeneous Agents

 

 

    Merkel Review Session

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Problem Set #2

Differential Equations Basics

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4. A Symmetric International Model with Runs/Sudden Stops           

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Monetary Models with Aggregate and Idiosyncratic Risk

 

 

5. A Simple Money Model

    Optimal Inflation (Target), Fiscal Theory of the Price Level
    and Medium of Exchange

 

    Merkel Review Session

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Problem Set #3

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6. Money versus Debt

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7. The I Theory of Money

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Problem Set #4

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8. Welfare and Optimal Policy                    (Yuliy Sannikov)

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Problem Set #5

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9. Long-run Risk and Shock Elasticities     (Lars Hansen)

    Two-sector Model with Frictions

    Numerical Simulations

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The following is a list of papers studying the intersection of macroeconomics and finance using continuous-time methods. The list is not exhaustive and will be updated.

The Core

Brunnermeier, Markus K. and Yuliy Sannikov (2014), A Macroeconomic Model with a Financial Sector, American Economic Review 104(2), pp. 379-421. Slides.

He, Zhiguo, and Arvind Krishnamurthy (2013), Intermediary Asset Pricing, American Economic Review 103(2): pp. 732-70. Slides.

He, Zhiguo, and Arvind Krishnamurthy (2012), A Model of Capital and Crises, Review of Economic Studies 79(2): pp. 735-777. Slides.

Di Tella, Sebastian (2013), Uncertainty Shocks and Balance Sheet Recessions, Stanford GSB, mimeo. Slides.

Isohätälä, Jukka, Alistair Milne and Donald Robertson (2014), The Net Worth Trap: Investment and Output Dynamics in the Presence of Financing Constraints, Bank of Finland Research Discussion Papers 26-2014.

Klimenko, Nataliya, Sebastian Pfeil and Jean-Charles Rochet (2015), Bank Capital and Aggregate Credit, University of Zurich, mimeo.

Surveys

Brunnermeier, Markus K. and Yuliy Sannikov (2015), Macro, Money and Finance: A Continuous Time Approach, forthcoming in the Handbook of Macroeconomics, Volume 2.

Isohätälä, Jukka, Nataliya Klimenko and Alistair Milne (2015), Post-crisis Macrofinancial Modelling: Continuous Time Approaches, forthcoming in the Handbook of Post-Crisis Financial Modelling, Palgrave-MacMillan.

Monetary Economics

Brunnermeier, Markus K. and Yuliy Sannikov (2014), The I Theory of Money, Princeton University, mimeo. Slides.

Drechsler, Itamar , Alexi Savov and Philipp Schnabl (2018), A Model of Monetary Policy and Risk Premia, Journal of Finance, 73(1), pp. 317-373.

MacroPru: Quantifying Capital Requirements

Phelan, Gregory (2014), Financial Intermediation, Leverage, and Macroeconomic Instability, Williams College, mimeo.

Mankart, Jochen, Alexander Michaelides, and Spyros Pagratis (2014), A Dynamic Model of Banking with Uninsurable Risks and Regulatory Constraints , SSRN, mimeo.

Begenau, Juliane (2015), Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model, Harvard Business School, Working Paper 15-072.

Quantitative/Calibration

He, Zhiguo, and Arvind Krishnamurthy (2013), A Macroeconomic Framework for Quantifying Systemic Risk, AEJ Macro, forthcoming. Slides.

Mittnik, Stefan, and Willi Semmler (2013), The Real Consequences of Financial Stress, Journal of Economic Dynamics and Control 37(8): pp. 1479-1499. Slides.

Muir, Tyler (2017), Financial Crises and Risk Premia, Quarterly Journal of Economics, 765-809.

International Economics

Brunnermeier, Markus and Yuliy Sannikov (2015), International Credit Flows, Pecuniary Externalities and Capital Controls, AEJ Macro, 7,1, pp. 297-338. Slides.

Maggiori, Matteo (2017), Financial Intermediation, International Risk Sharing, and Reserve Currencies, American Economic Review, 107(10), pp. 3038-3071. Slides.

Richer Models

Adrian, Tobias and Nina Boyarchenko (2012), Intermediary Leverage Cycles and Financial Stability, Federal Reserve Bank of New York Staff Report no. 567.

Adrian, Tobias and Nina Boyarchenko (2013), Intermediary Balance Sheets, Federal Reserve Bank of New York Staff Report no. 651.

Adrian, Tobias and Nina Boyarchenko (2013), Liquidity Policies and Systemic Risk, Federal Reserve Bank of New York Staff Report no. 661.

Boyarchenko, Nina (2012), Information Acquisition and Financial Intermediation, Federal Reserve Bank of New York Staff Report no. 571.

Moreira, Alan and Alexi Savov (2013), The Macroeconomics of Shadow Banking, NBER Working Paper w20335.

Huang, Ji (2014), Banking and Shadow Banking, Princeton University, mimeo.

Robatto, Roberto (2014), Financial Crises and Systemic Bank Runs in a Dynamic Model of Banking, University of Wisconsin-Madison, mimeo.

Finance Focus

Kondor, Peter and Dimitri Vayanos (2014), Liquidity Risk and the Dynamics of Arbitrage Capital, NBER Working Paper No. 19931.

Discrete-Continuous Time Link

Rappoport, David and Kieran Walsh (2012), A Discrete-Time Macroeconomic Model with a Financial Sector, Yale University, mimeo. Slides.

Production Heterogeneity

Cui, Rui (2013), What is Cyclical in Credit Cycles, University of Chicago, mimeo. Slides.