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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 (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

MacroPru: Quantifying Capital Requirements


International Economics

Richer Models

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