
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.

Investigating how macroprudential policies, in particular, VaR-type constraints affect aggregate investment, growth and tail risk, via a macro-finance model with heterogeneous investors.

This paper builds a two-sector DSGE model in continuous time, where one of the sectors is subject to productivity risk.

We extend the heterogenous agent models in macroeconomics to consider recursive preferences and asset pricing in continuous time framework.