Credit spreads display occasional spikes and are more strongly countercyclical in times of elevated financial stress. Financial crises extreme cases this nonlinear behavior, featuring skyrocketing credit spreads, sharp losses bank equity, deep recessions. We develop estimate a macroeconomic model with banking sector which banks’ leverage constraints occasionally binding equity issuance is endog...

This paper evaluates the literature on international unconventional monetary policies (UMPs). Introducing market segmentation, limits-to-arbitrage, and time-consistent policy in standard models permits a theoretical role for UMP. Empirical studies provide compelling evidence that UMPs influenced asset prices tail risk desired manner. Calibrated modeling vector autoregressive (VAR) exercises imp...

t his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in iran from 2002:03 to 2015:06. for this purpose, we have exploited sigma-point kalman filter (spkf) to extract the bubble component of assets prices in the aforementioned markets. then, in order to analyze the price bubbles spillover amon...

Payments systems operate virtually unnoticed in our daily lives and yet are crucial to a wellfunctioning economy and financial system. Because they explicitly link financial institutions, payments systems provide a way to transmit risk within, and between, financial systems. Ideally, payments systems should be designed and operated so as not to add risk in the event of a crisis. The author exam...

This paper uses a risk-shifting model to analyze policy responses asset price booms. We show risk shifting leads inefficient and credit booms in which prices can exceed fundamentals. However, the inefficiencies associated with arise independently of whether is bubble. Given evidence shifting, policymakers may not need determine if assets are bubbles justify intervention. then that some main can...

• A model is present in which transitory financial shocks can generate a secular stagnation output, asset prices, and interest rates. The strong propagation results from large endogenous price volatility of land makes the collateral constraints quantitatively important. high achieved by complementarity services consumption households’ preference, disciplined micro data. We explore persistent sl...