Arbeitspapier
Financial frictions: Micro vs macro volatility
We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the interest rate on savings and on loans. This interacts with incomplete markets because borrowers and savers face different intertemporal prices, and induces a time-varying mass point of high MPC households. Aggregate shocks through their impact on the spread give rise to consumption inequality. We show this mechanism to be empirically relevant. Ex-ante macro prudential regulation reduces welfare by reducing consumption smoothing.
- ISBN
-
978-92-899-4909-5
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2622
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Personal Income, Wealth, and Their Distributions
Business Fluctuations; Cycles
Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy
- Thema
-
Business cycles
financial frictions
incomplete markets
macroprudential regulation,monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lee, Seungcheol
Luetticke, Ralph
Ravn, Morten O.
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2021
- DOI
-
doi:10.2866/13857
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 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
- Lee, Seungcheol
- Luetticke, Ralph
- Ravn, Morten O.
- European Central Bank (ECB)
Entstanden
- 2021
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