Bank leverage cycles and the external finance premium

Arbeitspapier

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.

Angaben zum Objekt

• ISBN: 978-3-95729-001-4
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bundesbank Discussion Paper ; No. 55/2013

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Monetary Policy
• Thema: leverage cycle ; bank capital ; financial accelerator ; output effects of financial shocks

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Rannenberg, Ansgar
• Ereignis: Veröffentlichung
• (wer): Deutsche Bundesbank
• (wo): Frankfurt a. M.
• (wann): 2013

Weitere Informationen

• Handle: http://hdl.handle.net/10419/91727
• Letzte Aktualisierung: 10.03.2025, 11:46 MEZ