A Macroeconomic Framework for Quantifying Systemic Risk

Zhiguo He, Arvind Krishnamurthy

NBER Working Paper No. 19885
Issued in February 2014, Revised in May 2019

---- Acknowledgments ----

We thank seminar participants at the Banque de France, Bank of Canada, Boston University, Chicago Booth (Finance and Macro workshops), Copenhagen Business School, Federal Reserve Board, Federal Reserve Bank at Atlanta, Federal Reserve Bank of San Francisco, EPFL at Lausanne, Monetary Economics Conference at the Bank of Portugal, INET Conference, INSEAD, Johns Hopkins University, MIT-Sloan, NBER Summer Institute EFG meeting, Northwestern University, Princeton University, Riksbank, Rising Star Conference, SED 2013 at Seoul, Swiss Finance Institute, UC-Berkeley, UCLA, UC-Irvine, UCSD, University of North Carolina, University of Rochester, Washington University in St. Louis, and the Yale 2012 GE conference for comments. We thank Viral Acharya, Mark Gertler, Simon Gilchrist, Pete Kyle, John Leahy, Matteo Maggiori, Adriano Rampini, Alp Simsek and Wei Xiong for helpful suggestions. We also thank Valentin Haddad, Wenhao Li, and Tyler Muir for their suggestions and research assistance, and Simon Gilchrist and Egon Zakrajsek for their EBP data. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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