Banking, Liquidity and Bank Runs: Replication and Analysis of the Solution Method of Gertler/Kiyotaki (2015)

Grga, Nikola (2016) Banking, Liquidity and Bank Runs: Replication and Analysis of the Solution Method of Gertler/Kiyotaki (2015). Masters thesis, Institute for Advanced Studies Vienna. 25 p.

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Abstract or Table of Contents

The paper of Gertler and Kiyotaki (2015a) is important step forward in the modeling of financial sector in macroeconomic models, because it combines financial accelerator mechanism with the bank runs, two phenomena observed in the last economic crisis. Therefore, aim of the paper is to replicate the results of the Gertler and Kiyotaki (2015a) in order to check their validity. Also the procedure for solving the model is rewritten in order to be precise, conceptually clear and easy to follow. For the replication, the numerical solver based on the quasi-Newton method is used. The results of the replication confirms the results of the Gertler and Kiyotaki (2015a). The model should be further developed in order to incorporate more complex banking sector that includes commercial banks.

Item Type: Thesis (Masters)
Keywords: Macroeconomics, Bank Runs, Replication.
Research Groups: Macroeconomics and Public Finance
Status: Unpublished
Date Deposited: 22 Aug 2016 08:03
Last Modified: 22 Aug 2016 08:05
URI: http://irihs.ihs.ac.at/id/eprint/4017

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