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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | A study of nancial constraints in a model for systemic risk |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Date | 2015 |
| Zusammenfassung | We study an in nite horizon, random endowment economy with two or more heterogeneous agents, money, no banks and cash-at-the-end or cash-in-advance con- straints. These models were introduced by Moutot in [4] as a response to the lack of variability of asset prices and the inability to forecast systemic events in the stan- dard DSGE model. In this thesis, we extend the results for two agents of Moutot cf. [4] to any number of agents. We solve the problem numerically using nonlin- ear optimization methods and iterative procedures. In addition, we will analyze the convergence of the numerical approximations for various choices of economic parameters. Finally, this model will be used for modeling the primary market of European bonds. |
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