Adrian, T. and Shin, H. S. (2010) Liquidity and leverage.
Journal of Financial Intermediation
Allen, F. and Gale, D. (2004) Financial intermediaries and markets.
Bernanke, B. S., Gertler, M. and Gilchrist, S. (1999) The financial accelerator in a quantitative business cycle framework. Handbook of Macroeconomics
Binder, M. and Gross, M. (2013) Regime-Switching Global Vector Autoregressive Models. European Central Bank working paper no. 1596, August.
Borio, C., Furfine, C. and Lowe, P. (2001) Procyclicality of the Financial System and Financial Stability: Issues and Policy Options. BIS paper, 1:1–57.
Brunnermeier, M., Crockett, A., Goodhart, C., Persaud, A. and Shin, H. S. (2009) The fundamental principles of financial regulation. Centre for Economic Policy Research.
Brunnermeier, M. K. and Sannikov, Y. (2014) A macroeconomic model with a financial Sector. American Economic Review
Canova, F. and De Nicolo, G. (2002) Monetary disturbances matter for business fluctuations in the G-7. Journal of Monetary Economics
Chudik, A. and Pesaran, M. H. (2014) Theory and Practice of GVAR Modeling. FED Bank of Dallas working paper (180) May.
Christiano, L. and Ikeda, D. (2013) Leverage Restrictions in a Business Cycle Model. Working paper 18688, National Bureau of Economic Research.
Claessens, S., Kose, M. and Terrones, M. (2012) How do business and financial cycles interact?
Journal of International Economics
Dees, S., di Mauro, F., Pesaran, M. H., and Smith, L. V. (2007) Exploring the international linkages of the euro area: A global VAR analysis. Journal of Applied Econometrics
Drehmann, M., Borio, C. and K. Tsatsaronis (2011) Anchoring countercyclical capital buffers: The role of credit aggregates.
International Journal of Central Banking
Eickmeier, S. and Ng, T. (2011) How Do Credit Supply Shocks Propagate Internationally? A GVAR Approach. Deutsche Bundesbank discussion paper no. 27.
Faust, J. (1998) The robustness of identified VAR conclusions about money.
Carnegie-Rochester Conference Series on Public Policy
Geanakoplos, J. (2009) The leverage cycle.
NBER Macroeconomics Annual
Gerali, A., Neri, S., Sessa, L. and Signoretti, F. M. (2010) Credit and banking in a DSGE model of the euro area.
Journal of Money, Credit and Banking
Goodhart, C. A., Kashyap, A. K., Tsomocos, D. P., and Vardoulakis, A. P. (2012) Financial Regulation in General Equilibrium. Working paper 17909, National Bureau of Economic Research.
Gross, M., Henry, J., and Semmler, W. (2016b), Destabilizing Effects of Bank Overleveraging on Real Activity–An Analysis based on a Threshold Mixed-Cross-Section GVAR, Working paper, ECB, forthcoming.
Gross, M. and Kok, C. (2013) Measuring Contagion Potential Among Sovereigns and Banks using a Mixed-Cross-Section GVAR. European Central Bank working paper no. 1570, August.
Gross, M., Kok, C., and Zochowski, D. (2016a) The Impact of Bank Capital on Economic Activity –- Evidence from a Mixed-Cross-Section GVAR Model. European Central Bank working paper no. 1888.
Gruene, L., Semmler, W. and Stieler, M. (2015) Using nonlinear model predictive control for dynamic decision problems in economics.
Journal of Economic Dynamics and Control
Kiyotaki, N. and Moore, J. (1997) Credit cycles.
Journal of Political Economy
Laeven, L. and Valencia, F. (2012) Systemic Banking Crises: An Update, IMF working paper 12/ 163.
Mittnik, S. and Semmler, W. (2013) The real consequences of financial stress.
Journal of Economic Dynamics & Control
Pesaran, M. H., Schuermann, T. and Weiner, S. M. (2004) Modelling regional interdependencies using a global error-correcting macroeconometric model.
Journal of Business and Economic Statistics
Pesaran, M. H. and Smith, R. (2006) Macroeconometric modeling with a global perspective.
The Manchester School
Reinhart, C. and Rogoff, K. (2009) This Time is Different: Eight Centuries of Financial Folly. Princeton, NJ: Princeton University Press.
Schleer, F., Semmler, W. and Illner, J. (2014) Overleveraging in the Banking Sector: Evidence from Europe, ZEW working paper. Journal of Economics and Statistics, vol. 236. no: 6, 2016.
Schularick, M. and Taylor, A. M. (2012) Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870–2008.
American Economic Review
Stein, J. L. (2012) Stochastic Optimal Control and the U.S. Financial Debt Crisis. Heidelberg/New York: Springer.
Uhlig, H. (2005) What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics