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Title: Financial Intermediation and Capital Reallocation
Originating Office: IAS
Speaker: Li, Kai
Issue Date: 23-Jun-2016
Event Date: 23-Jun-2016
Group/Series/Folder: Record Group 8.15 - Institute for Advanced Study
Series 3 - Audio-visual Materials
Location: 8.15:3 EF
Notes: IAS Quantitative Finance and Fintech seminar series. IAS Quantitative Finance and Fintech Mini Workshop.
Title from slide title.
Abstract: To understand the link between financial intermediation activities and the real economy, we put forward a general equilibrium model where agency frictions in the financial sector affect the efficiency of capital reallocation across firms and generate aggregate economic fluctuations.We develop a recursive policy iteration approach to fully characterize the nonlinear equilibrium dynamics and the off-steady state crisis behavior. In our model, adverse shocks to agency frictions exacerbate capital misallocation and manifest themselves as variations in total factor productivity at the aggregate level. Our model endogenous generates counter-cyclical volatility in aggregate time series and counter-cyclical dispersion of marginal product of capital and asset returns in the cross-section.
Duration: 33 min.
Appears in Series:8.15:3 - Audio-visual Materials
Videos for Public -- Distinguished Lectures