Online-Live Course across 8 Universities
Real Models with Financial Frictions
2. A Simple Macro-Finance Model in Continuous Time slides zoom video
Problem Set #0 Sannikov Handout: Stochastic Calculus Basics
Problem Set #1 Merkel Review Session slides zoom video
3. Macro-Finance Model with Hetereogenous Agents slides video1, video2, video3
Problem Set #2 Merkel Handout: Differential Equations
Merkel Review Session slides video
4. A Symmetric International Model with Runs/Sudden Stops slides zoom video
Monetary Models with Aggregate and Idiosyncratic Risk
5. A Simple Money Model slides
Optimal Inflation (Target) and video1
Fiscal Theory of the Price Level and Medium of Exchange video2
Problem Set #3 Merkel Review Session slides zoom video
6. Money versus Debt slides zoom video
7. The I Theory of Money slides zoom video
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.
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.
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.
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.
He, Zhiguo, and Arvind Krishnamurthy (2013), A Macroeconomic Framework for Quantifying Systemic Risk, AEJ Macro, forthcoming. Slides.
Muir, Tyler (2017), Financial Crises and Risk Premia, Quarterly Journal of Economics, 765-809.
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.
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.
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.
Cui, Rui (2013), What is Cyclical in Credit Cycles, University of Chicago, mimeo. Slides.