Background Material

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.

The Core

• Brunnermeier, Markus K. and Yuliy Sannikov (2014), A Macroeconomic Model with a Financial Sector, American Economic Review 104(2), pp. 379-421. Slides.
• He, Zhiguo, and Arvind Krishnamurthy (2013), Intermediary Asset Pricing, American Economic Review 103(2): pp. 732-70. Slides.
• He, Zhiguo, and Arvind Krishnamurthy (2012), A Model of Capital and Crises, Review of Economic Studies 79(2): pp. 735-777. Slides.
• Di Tella, Sebastian (2013), Uncertainty Shocks and Balance Sheet Recessions, Stanford GSB, mimeo. Slides.
• 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.

Surveys

• 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.

Monetary Economics

• Brunnermeier, Markus K. and Yuliy Sannikov (2014), The I-Theory of Money, Princeton University, mimeo. Slides.
• Drechsler, Itamar , Alexi Savov and Philipp Schnabl (2014), A Model of Monetary Policy and Risk Premia, NBER Working Paper w20141.

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.

Quantitative/Calibration

• He, Zhiguo, and Arvind Krishnamurthy (2013), A Macroeconomic Framework for Quantifying Systemic Risk, University of Chicago, mimeo. Slides.
• Mittnik, Stefan, and Willi Semmler (2013), The Real Consequences of Financial Stress, Journal of Economic Dynamics and Control 37(8): pp. 1479-1499. Slides.
• Muir, Tyler (2014), Financial Crises and Risk Premia, Yale University, mimeo.

International Economics

• Brunnermeier, Markus and Yuliy Sannikov (2014), International Credit Flows, Pecuniary Externalities and Capital Controls, Princeton University, mimeo. Slides.
• Maggiori, Matteo (2013), Financial Intermediation, International Risk Sharing, and Reserve Currencies, Harvard University, mimeo. Slides.

Richer Models

• 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.
• Finance Focus
• 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.

Production Heterogeneity

• Cui, Rui (2013), What is Cyclical in Credit Cycles, University of Chicago, mimeo. Slides