Arbeitspapier
Asymmetric information in credit markets, bank leverage cycles and macroeconomic dynamics
The paper adds a moral hazard problem between banks and depositors as in Gertler and Karadi (2011) to a DSGE model with a costly state verification problem between entrepreneurs and banks as in Bernanke, Gertler and Girlchrist (1999, BGG). This modification amplifies the response of the external finance premium and the overall economy to monetary policy and productivity shocks. It allows the 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 simulation of a bank balance sheet shock produces a downturn of a magnitude similar to the "Great Recession".
- Sprache
-
Englisch
- Erschienen in
-
Series: NBB Working Paper ; No. 224
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Thema
-
Financial accelerator
bank leverage
DSGE model
Kreditgeschäft
Unternehmensfinanzierung
Bankrechnungslegung
Schock
Asymmetrische Information
Konjunktur
Dynamisches Gleichgewicht
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rannenberg, Ansgar
- Ereignis
-
Veröffentlichung
- (wer)
-
National Bank of Belgium
- (wo)
-
Brussels
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Rannenberg, Ansgar
- National Bank of Belgium
Entstanden
- 2012
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