Banking, liquidity and bank runs: replication and analysis of the solution method of Gertler/Kiyotaki (2015)

Grga, Nikola

doi:10.34726/hss.2016.37474

Record link:

https://doi.org/10.34726/hss.2016.37474
http://hdl.handle.net/20.500.12708/4008

Title:

Banking, liquidity and bank runs: replication and analysis of the solution method of Gertler/Kiyotaki (2015)

Citation:

Grga, N. (2016). Banking, liquidity and bank runs: replication and analysis of the solution method of Gertler/Kiyotaki (2015) [Master Thesis, Technische Universität Wien; IHS Wien]. reposiTUm. https://doi.org/10.34726/hss.2016.37474

reposiTUm DOI:

10.34726/hss.2016.37474

CatalogPlus:

AC13260614

Publication Type:

Thesis - Master Thesis

Hochschulschrift - Masterarbeit

Language:

English

Authors:

Grga, Nikola

Advisor:

Reiter, Michael

Organisational Unit:

E017 - Continuing Education Center

Date (published):

2016

Number of Pages:

Keywords:

macroeconomics; bank runs; replication

Abstract:

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.

Appears in Collections:

Thesis