A Macroeconomic Model with a Financial Sector
研究了存在金融摩擦的经济体的完全均衡动态，发现非线性放大效应导致经济不稳定并偶尔进入危机，内生杠杆决定危机距离，而改善风险分担的证券化和衍生品可能提高杠杆并增加危机频率。
This article studies the full equilibrium dynamics of an economy with financial frictions. Due to highly nonlinear amplification effects, the economy is prone to instability and occasionally enters volatile crisis episodes. Endogenous risk, driven by asset illiquidity, persists in crisis even for very low levels of exogenous risk. This phenomenon, which we call the volatility paradox, resolves the Kocherlakota ( 2000) critique. Endogenous leverage determines the distance to crisis. Securitization and derivatives contracts that improve risk sharing may lead to higher leverage and more frequent crises.