Arbeitspapier

Asymmetric information in credit markets, bank leverage cycles and macroeconomic dynamics

to connected objects

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".

Language: Englisch

Bibliographic citation: Series: NBB Working Paper ; No. 224

Classification: Wirtschaft
Financial Markets and the Macroeconomy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages

Subject: Financial accelerator
bank leverage
DSGE model
Kreditgeschäft
Unternehmensfinanzierung
Bankrechnungslegung
Schock
Asymmetrische Information
Konjunktur
Dynamisches Gleichgewicht
Theorie

Event: Geistige Schöpfung

(who): Rannenberg, Ansgar

Event: Veröffentlichung

(who): National Bank of Belgium

(where): Brussels

(when): 2012

Handle: http://hdl.handle.net/10419/144436

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Rannenberg, Ansgar
National Bank of Belgium

Time of origin

2012

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