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NBER Working Papers and Publications
|December 2017||A Macroeconomic Model with Financial Panics|
with Mark Gertler, Nobuhiro Kiyotaki: w24126
This paper incorporates banks and banking panics within a conventional macroeconomic framework to analyze the dynamics of a financial crisis of the kind recently experienced. We are particularly interested in characterizing the sudden and discrete nature of the banking panics as well as the circumstances that makes an economy vulnerable to such panics in some instances but not in others. Having a conventional macroeconomic model allows us to study the channels by which the crisis affects real activity and the effects of policies in containing crises.
|January 2016||Wholesale Banking and Bank Runs in Macroeconomic Modelling of Financial Crises|
with Mark Gertler, Nobuhiro Kiyotaki: w21892
There has been considerable progress in developing macroeconomic models of banking crises. However, most of this literature focuses on the retail sector where banks obtain deposits from households. In fact, the recent financial crisis that triggered the Great Recession featured a disruption of wholesale funding markets, where banks lend to one another. Accordingly, to understand the financial crisis as well as to draw policy implications, it is essential to capture the role of wholesale banking. The objective of this paper is to characterize a model that can be seen as a natural extension of the existing literature that provides a step toward accomplishing this objective. The model accounts for both the buildup and collapse of wholesale banking, and also sketches out the transmission of th...
Published: M. Gertler, N. Kiyotaki, A. Prestipino, Chapter 16 - Wholesale Banking and Bank Runs in Macroeconomic Modeling of Financial Crises, Editor(s): John B. Taylor, Harald Uhlig, Handbook of Macroeconomics, Elsevier, Volume 2, 2016, Pages 1345-1425, ISSN 1574-0048, ISBN 9780444594877, https://doi.org/10.1016/bs.hesmac.2016.03.009.