Macroprudential Policy, Balance Sheets, and Tail Risk
Investigating how macroprudential policies, in particular, VaR-type constraints affect aggregate investment, growth and tail risk, via a macro-finance model with heterogeneous investors.
DSGE
Pricing Risks in Tangible and Intangible Capital: Implications from a Two-Sector Economy
This paper builds a two-sector DSGE model in continuous time, where two sectors are subject to risks of different persistence.