Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153786
Authors: 
Moutot, Philippe
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper 1352
Abstract: 
In a stochastic pure endowment economy with money but no financial markets, two types of agents trade one non-durable good using two alternative types of cash constraints. Simulations of the corresponding variants are compared to Arrow-Debreu and Autarky equilibriums. First, this illustrates how financial innovation or financial regression, including systemic risk, may arise in a neo-classical model with rational expectations and may or may not be countered. Second, the price and money partition dynamics that the two variants generate absent any macroeconomic shock, exhibit jumps as well as fat-tails and vary depending on the discount rate.
Subjects: 
Cash constraints
Financial Development
heterogeneity
monetary model
Rational Expectations
systemic risk
JEL: 
E44
Document Type: 
Working Paper

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