Much of the lending in modern economies is secured by some form of collateral: residential
and commercial mortgages and corporate bonds are familiar examples. This paper builds …

We present a flexible and scalable method for computing global solutions of high‐
dimensional stochastic dynamic models. Within a time iteration or value function iteration …

We investigate whether expectations that are not fully rational have the potential to explain
the evolution of house prices and the price-to-rent ratio in the United States. First, a stylized …

We develop a model in which financially constrained arbitrageurs exploit price
discrepancies across segmented markets. We show that the dynamics of arbitrage capital …

The dangers of high capital flow volatility and sudden stops have led economists to promote
the use of capital controls as an addition to monetary policy in emerging market economies …

Today's financial system essentially relies on the pledge of collateral. A closer look at this
uniquely cross-disciplinary instrument not only reveals a remarkable absence in the modern …

I study how quantities of safe bonds affect asset prices and lending volumes in financial
markets. In a quantitative model, heterogeneous agents trade securities of different maturity …

We introduce our GDSGE framework and a novel global solution method, called
simultaneous transition and policy function iterations (STPFIs), for solving dynamic …

Under limited commitment that prevents agents from pledging their future non‐financial
wealth, agents with incorrect beliefs always survive by holding on to their non‐financial …

Does the ability to pledge an asset as collateral, after purchase, affect its price? This paper
identifies the impact of collateral service flows on house prices, exploiting a plausibly …