Bank leverage cycles and the external finance premium

Beschreibung

By combining the approaches of Gertler and Karadi (2011) and Bernanke et al. (1999), I develop a DSGE model with leverage constraints both in the banking and in the non-financial firm sector. I calibrate this "full model" to US data. In a world with only a monetary policy and a productivity shock, the full model matches the relative volatility of the external finance premium, while a BGG model generates too low volatility. The full model also matches the procyclicality of bank leverage, unlike the GK model. For a reasonably calibrated combination shocks to the net worth of banks and non-financial firms, the model reproduces a substantial share of the contraction (increase) of investment (the external finance premium) observed during the "Great Recession".
Steht auch als Elektronisches Dokument zur Verfügung (ISBN 978-3-95729-001-4)

Autor*in

Ansgar Rannenberg

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Bankfinanzierung DSGE-Modell Kapitalstruktur

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