Financial Markets and the Macroeconomy

Lecturer: Professor Tommaso Monacelli, PhD (Bocconi University)
Venue: Leipzig University, Faculty of Economics and Management Science, Grimmaische Straße 12, Institutsgebäude, Room SR 16
Date: March 14, 2016 – March 17, 2016
Registration: Please contact Monika Sprenger, E-mail: sprenger@wifa.uni-leipzig.de, until 29 February 2016.

Announcement see pdf

Time Schedule

Monday
9:30 – 11:00
Break: 30 min
11:30 – 13:00
Break: 90 min
14:30 – 16:00
16:00 – 17:30 Consultations

Tuesday
9:30 – 11:00
Break: 30 min
11:30 – 13:00
Break: 90 min
14:30 – 16:00
16:00 – 17:30 Consultations

Wednesday
9:30 – 11:00
Break: 30 min
11:30 – 13:00
Break: 90 min
14:30 – 16:00
16:00 – 17:30 Consultations

Thursday
9:30 – 11:00
Break: 30 min
11:30 – 13:00
Break: 90 min
14:30 – 16:00

Some of the material will draw from

– Walsh C.E. Monetary Theory and Policy, MIT Press 2013 (3d edition): chapter 10.
– Razin A. Understanding Global Crisis: An Emerging Paradigm: chapter 12.

The remaining material will be based on papers, slides and handouts.

1. Financial imperfections: overview and introduction

– Christiano L. and Ikeda (2012), Government Policy, Credit Markets and Economic Activity. Mimeo.
– Quadrini V. (2011), Financial Frictions in Macroeconomic Fluctuations, Federal Reserve Bank of Richmond’s Economic Quarterly.

2. Evidence

– Gilchrist, Simon and Egon Zakrasjek (2012), Credit Spreads and Business Cycle Fluctuations: Evidence from Corporate Bond and Stock Markets, American
Economic Review.

3. Aymmetric information and costly state verification setup

– Walsh chp 10
– Bernanke, B., M. Gertler, and S. Gilchrist (1999), The Financial Accelerator in a Quantitative Business Cycle Framework, in J.B. Taylor and M. Woodford,
eds., Handbook of Macroeconomics, 1C, Amsterdam: North-Holland, 1999.

4. Limited commitment. Credit frictions as a source of amplification and persistence

– Walsh chp 10
– Kiyotaki N. and J. Moore (1997), Credit Cycles, Journal of Political Economy, 105, 211-248.

5. Credit Market Imperfections and the households side. Liquidity traps.

– Razin chp 12
– Eggertson G. and P. Krugman (2011), Debt, Deleveraging and the Liquidity Trap, Quarterly Journal of Economics.
– Mian A. and A. Sufi, House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis, American Economic Review (2011).
– Mian A. and A. Sufi , What Explains the 2007-2009 Drop in Employment?, Econometrica (2014).
– Mian A. HìK. Rao and A. Sufi, Household Balance Sheets, Consumption, and the Economic Slump, Quarterly Journal of Economics (2013).