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Macro, Money and Finance: A Continuous Time Approach / Markus K. Brunnermeier, Yuliy Sannikov.
- Format:
- Book
- Author/Creator:
- Brunnermeier, Markus K.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w22343.
- NBER working paper series no. w22343
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Macro, Money and Finance
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2016.
- Summary:
- This paper puts forward a teaching 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.
- Notes:
- Print version record
- June 2016.
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