Konferenzbeitrag

Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics

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I add a moral hazard problem between banks and depositors as in Gertler and Karadi (2009) to a DSGE model with a costly state verification problem between entrepreneurs and banks as in Bernanke et al. (1999) (BGG). This modification amplifies the response of the external finance premium and the overall economy to monetary policy and productivity shocks. It allows my model to match the volatility and correlation with output of the external finance premium, bank leverage, entrepreneurial leverage and other variables in US data better than a BGG-type model. A reasonably calibrated combination of balance sheet shocks produces a downturn of a magnitude similar to the "Great Recession".

Language: Deutsch

Bibliographic citation: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts - Session: Banking and Macroeconomics ; No. B15-V1

Classification: Wirtschaft
Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
Financial Markets and the Macroeconomy
Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)

Event: Geistige Schöpfung

(who): Rannenberg, Ansgar

Event: Veröffentlichung

(when): 2012

Handle: http://hdl.handle.net/10419/62035

Last update: 10.03.2025, 11:44 AM CET

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Object type

Konferenzbeitrag

Associated

Rannenberg, Ansgar

Time of origin

2012

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