Showing papers by "Nobuhiro Kiyotaki published in 2013"

Inside Money and Liquidity

Abstract: We are grateful for feedback from audiences of various seminars and lectures, including the European Meeting of the Econometric Society 1999, the Banco de Portugal Conference on Monetary Economics 2000, and the South Asia Meeting of the Econometric Society 2002. We would particularly like to thank Harold Cole, Edward Green, Martin Hellwig, Bengt Holmstrom, Narayana Kocherlakota, Erzo Luttmer, Raphael Repullo, Makoto Saito, Jonathan Thomas, Robert Townsend, Neil Wallace and Tim Worrall for valuable discussions.

Banking, Liquidity and Bank Runs in an Infinite Horizon Economy

Abstract: We develop a variation of the macroeconomic model of banking in Gertler and Kiyotaki (2011) that allows for liquidity mismatch and bank runs as in Diamond and Dybvig (1983). As in Gertler and Kiyotaki, because bank net worth fluctuates with aggregate production, the spread between the expected rates of return on bank assets and deposits fluctuates countercyclically. However, because bank assets are less liquid than deposits, bank runs are possible as in Diamond and Dybvig. Whether a bank run equilibrium exists depends on bank balance sheets and an endogenous liquidation price for bank assets. While in normal times a bank run equilibrium may not exist, the possibility can arise in a recession. We also analyze the effects of anticipated bank runs. Overall, the goal is to present a framework that synthesizes the macroeconomic and microeconomic approaches to banking and banking instability.

Dynamics of Firms and Trade in General Equilibrium

Abstract: This paper develops a dynamic general equilibrium model that attempts to reconcile the observation that aggregate movements of exports and imports are disconnected from real exchange rate movements, while firm-level exports co-move significantly with the real exchange rate. Firms are heterogeneous, facing recurrent aggregate and firm-product specific productivity shocks, choose which goods to export, and decide to enter and exit the business endogenously. We calibrate and estimate the model with both aggregate and firm level data.

Banking, Liquidity and Bank Runs in an Infinite-Horizon Economy

Abstract: We develop a variation of the macroeconomic model with banking in Gertler and Kiyotaki (2011) that allows for liquidity mismatch and bank runs as in Diamond and Dybvig (1983). As in Gertler and Kiyotaki, because bank net worth fluctuates with aggregate production, the spread between the expected rates of return on bank assets and deposits fluctuates counter-cyclically. However, because bank assets are less liquid than deposits, bank runs are possible as in Diamond and Dybvig. Whether a bank run equilibrium exists depends on bank balance sheets and an endogenously determined liquidation price for bank assets. While in normal times a bank run equilibrium may not exist, the possibility can arise in a recession. We also analyze the effects of anticipated bank runs. Overall, the goal is to present a framework that synthesizes the macroeconomic and microeconomic approaches to banking and banking instability.

Dynamics of Firms and Trade in General Equilibrium

Abstract: This paper develops a dynamic general equilibrium model that tries to reconcile the observation that aggregate movements of exports and imports are "disconnected" from real exchange rate movements, while firm-level exports co-move significantly with the real exchange rate. Firms are heterogenous, facing recurrent aggregate and firm-product specific productivity shocks, choose which goods to export, and decide to enter and exit the business endogenously. We calibrate and estimate the model with both aggregate and firm level data from Japan.