Macroeconomic Modeling

Readings for Initial Meeting

Leaders of this research project and presenters from the Federal Reserve have compiled this list of papers and background reading for attendees. Participants may find these resources useful to prepare for the discussion.

• “Financial Intermediation and Credit Policy in Business Cycle Analysis”
  Mark Gertler and Nobuhiro Kiyotaki
  (March 2010)
  
  “Macroeconomics with Financial Frictions: A Survey”
  Markus K. Brunnermeier, Thomas M. Eisenbach and Yuliy Sannikov
  (March 2010)
  
  
• “Implementing a Macroprudential Approach to Supervision and Regulation “
  Remarks by Ben S. Bernanke, Chairman,  Board of Governors of the Federal Reserve System (May 5, 2011)
  
  “Equipping Financial Regulators with the Tools Necessary to Monitor Systemic Risk”
  Testimony by Daniel K. Tarullo, Member, Board of Governors of the Federal Reserve System (Feb. 12, 2010)
  
• 
  “Documentation of the Estimated, Dynamic, Optimization-based (EDO) model of the U.S. economy: 2010 version”
  Hess T. Chung, Michael T. Kiley, Jean-Philippe Laforte
  (2010) Finance and Economics Discussion Series: Board of Governors of the Federal Reserve System
  This paper provides the most current documentation for the DSGE model used for forecasting.
  
  
• “Financial Capital and the Macroeconomy: Policy Considerations”
  Michael T. Kiley and Jae W. Sim
  (2011) Finance and Economics Discussion Series: Board of Governors of the Federal Reserve System
  This paper represents work done on intermediation in conjunction with a group exploring these research issues coordinated by the BIS.
  
  
• “Survey of Systemic Risk Analytics”
  Dimitrios Bisias, Mark Flood, Andrew W. Lo, and Stavros Valavanis
  (January 5, 2012) Office of Financial Research Working Paper #0001

Supplementary Reading

• Statement by Daniel K. Tarullo, Governor, Board of Governors of the Federal Reserve System, before the Committee on Banking, Housing, and Urban Affairs, U.S. Senate
  (March 22, 2012)
  
  
• “Pursuing Financial Stability at the Federal Reserve”
  Remarks by Janet L. Yellen, Vice Chair, Board of Governors of the Federal Reserve System (Nov. 11, 2011)
• 
  “Comprehensive Capital Analysis and Review 2012: Methodology for Stress Scenario Projections”
  Board of Governors of the Federal Reserve System
  This recent white paper serves as background for discussion of macroprudential stress testing.
  
  
• “Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach”
  Frank Smets and Rafael Wouters (2007)