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Replication data for: A Macroeconomic Model with a Financial Sector

Version
V0
Resource Type
Dataset
Creator
  • Brunnermeier, Markus K.
  • Sannikov, Yuliy
Publication Date
2014-02-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.104.2.379 (Text)
Publications
  • Brunnermeier, Markus K., and Yuliy Sannikov. “A Macroeconomic Model with a Financial Sector.” American Economic Review 104, no. 2 (February 2014): 379–421. https://doi.org/10.1257/aer.104.2.379.
    • ID: 10.1257/aer.104.2.379 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Brunnermeier, Markus K.; Sannikov, Yuliy (2014): Replication data for: A Macroeconomic Model with a Financial Sector. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112732