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- W3124037384 abstract "This paper studies the full equilibrium dynamics of an economy with financial frictions. Due to highly non-linear amplification effects, the economy is prone to instability and occasionally enters volatile episodes. Risk is endogenous and asset price correlations are high in down turns. In an environment of low exogenous risk experts assume higher leverage making the system more prone to systemic volatility spikes - a volatility paradox. Securitization and derivatives contracts leads to better sharing of exogenous risk but to higher endogenous systemic risk. Financial experts may impose a negative externality on each other and the economy by not maintaining adequate capital cushion." @default.
- W3124037384 created "2021-02-01" @default.
- W3124037384 creator A5029970501 @default.
- W3124037384 creator A5034194808 @default.
- W3124037384 date "2012-01-01" @default.
- W3124037384 modified "2023-10-16" @default.
- W3124037384 title "A Macroeconomic Model with a Financial Sector" @default.
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