A Macroeconomic Framework for Quantifying Systemic Risk

Research, Preprint OPEN
Zhiguo He; Arvind Krishnamurthy;
(2012)
  • Publisher: Brussels: National Bank of Belgium
  • Subject: Crises | Finanzintermediation | E44 | Financial Friction | G12 | Systemrisiko | Liquidity | G2 | Liquiditätsbeschränkung | Constraints | Wirkungsanalyse | Kreditmarkt | Delegation | Financial Intermediation | Finanzkrise | Liquidity, Delegation, Financial Intermediation, Crises, Financial Friction, Constraints | Theorie
    • jel: jel:G12 | jel:G01 | jel:E44 | jel:G2
      ddc: ddc:330

Systemic risk arises when shocks lead to states where a disruption in financial intermediation adversely affects the economy and feeds back into further disrupting financial intermediation. We present a macroeconomic model with a financial intermediary sector subject to... View more
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