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Endogenous Banks’ Networks, Cascades and Systemic Risk
(2014-06-01)
We develop a network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in re-sales: risk is transmitted through direct ...
Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk
(2014-03-26)
This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary ...
Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets
(2014-03-30)
We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from ...
Exit Strategies
(2014-04-01)
We study alternative scenarios for exiting the post-crisis fiscal and monetary accommodation using a macromodel where banks choose their capital structure and are subject to runs. Under a Taylor rule, the post-crisis ...
The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy
(2014-04-01)
After the Global Financial Crisis a controversial rush to fiscal austerity followed in many countries. Yet research on the effects of austerity on macroeconomic aggregates was and still is unsettled, mired by the difficulty ...
The Output Effect of Fiscal Consolidation Plans
(2014-10-01)
We show that the correct experiment to evaluate the effects of a fiscal adjustment is the simulation of a multi year fiscal plan rather than of individual fiscal shocks. Simulation of fiscal plans adopted by 16 OECD countries ...