Gorton and Metrik Regulating the Shadow Banking System
Presented by E. Hayek and A.Chailloux
Outline
Thesis: The shadow banking system that evolved in the past 30 years was a necessary
innovation for the banking system and served a need the economy had. H
Macro-Econometrics
HW#2 Suggested Answers
1(a). The homogenous equation is:
yt 0.8 yt 1 0
Therefore, the characteristic equation is:
0.8 0
0.8
We can then write the homogenous solution as:
yth A1 (0.8)t for an abitrary A1
Using the method of undetermine
Macro-Econometrics
Suggested Answers for HW #9
The results below reproduce the analysis of simulated data presented in the textbook and in
the lecture, which were obtained by the author using RATS. The results below use Eviews,
and they will not match exa
Macro-Econometrics
Suggested Answers to Homework #6
(a). The real exchange rate for Japan is:
RJAP
1.6
1.5
1.4
1.3
1.2
1.1
1.0
0.9
74
76
78
80
82
84
86
88
The series does not look stationary. It rarely crosses its mean only six times over the 17
year peri
Macro-Econometrics
Suggested Answers for HW#8
(a)/(b). The VAR output is voluminous and not really interesting on its own. However, here
are the estimated coefficients for the model in (a):
Vector Autoregression Estimates
Date: 12/15/09 Time: 10:40
Sample
Macro-Econometrics
HW#1 Suggested Answers
(a). The difference equation for yt in terms of yt-1 is:
yt 0 1 yt 1
Lagging all variables by one period yields an expression for yt-1 in terms of yt-2:
yt 1 0 1 yt 2
Plugging this into the original equation yield
Macro-Econometrics
Suggested Answers for Homework Assignment #3
(a). The series looks like this:
GRAPH_Y3
1.00
0.75
0.50
0.25
0.00
-0.25
-0.50
-0.75
-1.00
25
50
75
100
The data looks stationary. The series cross its mean several times and has no obvious
u
Macro-Econometrics
Suggested Answers for Homework Assignment #5
The solutions to the difference equations can be obtained in any number of ways backward
iteration or one of the methods described in Chapter 1. The simplest method for these
models is to use
Macro-Econometrics
Suggested Answers for HW #7
(a) A reduced-form VAR merely captures the statistical relationships among a set of
variables. For example, consider a reduced-form VAR model of output growth and inflation.
The VAR is estimated by regressing
Macro-Econometrics
Suggested Answers for Homework Assignment #4
(a). The series for the logged first-difference looks like this:
The data look marginally stationary. Although there is no obvious trend to the data, the
series does seem to wander around, st
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Gorton and Metrik Regulating the Shadow Banking System
Outline
Thesis: The shadow banking system that evolved in the past 30 years was a necessary
innovation for the banking system and served a need the economy had. However since it
evolved outside the re
OXFORD REVIEW OF ECONOMIC POLICY, VOL. 15, NO. 3
THE SWEDISH BANKING CRISIS:
ROOTS AND CONSEQUENCES
PETER ENGLUND
Stockholm School of Economics1
The article analyses the Swedish banking crisis in the early 1990s. Newly deregulated credit markets after
198
Eric Hayek and Alexandre Chailloux
Regulating the Shadow Banking System
by Gorton and Metrick
Agenda
1.
Why do we care about shadow banking ?
2.
What is shadow banking ?
3.
Key notions: securitization, repo and
haircuts
4.
A stylized map of shadow banking
Gorton and Metrik Regulating the Shadow Banking System
Outline
Thesis: The shadow banking system that evolved in the past 30 years was a necessary
innovation for the banking system and served a need the economy had. However since it
evolved outside the re
Regulating the Shadow
Banking System by Gorton
and Merick
Eric Hayek & Alex
Cahilloux
Why do we care about shadow
banking?
Shadow banking refers to non-bank
finical intermediaries that provide services
similar to traditional banks, but are not
regulated i
Regulating the Shadow
Banking System by Gorton
and Merick
Eric Hayek & Alex
Cahilloux
Why do we care about shadow
banking?
Shadow banking refers to non-bank
finical intermediaries that provide services
similar to traditional banks, but are not
regulated i
Gorton and Metrik Regulating the Shadow Banking System
Presented by E. Hayek and A.Chailloux
Outline
Thesis: The shadow banking system that evolved in the past 30 years was a necessary
innovation for the banking system and served a need the economy had. H
Macro-Econometrics
Suggested Answers to HW #10
(a). Standard economic theory would suggest that the term structure of interest rates is
affected by a common trend, with the trend shifting the yield curve up or down, because of
changes in the real rate of