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  • 标题:Systemic risk and financial development in a monetary model
  • 本地全文:下载
  • 作者:Philippe Moutot
  • 期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
  • 印刷版ISSN:1830-3420
  • 电子版ISSN:1830-3439
  • 出版年度:2011
  • 出版社:European Central Bank
  • 摘要:In a stochastic pure endowment economy with money but no financial markets, two types of agents trade one non-durable good using two alternative types of cash constraints. Simulations of the corresponding variants are compared to Arrow- Debreu and Autarky equilibriums. First, this illustrates how financial innovation or financial regression, including systemic risk, may arise in a neo-classical model with rational expectations and may or may not be countered. Second, the price and money partition dynamics that the two variants generate absent any macroeconomic shock, exhibit jumps as well as fat-tails and vary depending on the discount rate.
  • 关键词:Financial development; Systemic Risk; Heterogeneity; Rational expectations;Monetary model; Cash constraints
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