Collateral Shocks

IF 6.3 1区 经济学 Q1 ECONOMICS
Yvan Bécard, D. Gauthier
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引用次数: 10

Abstract

We estimate a macroeconomic model on US data where banks lend to households and businesses and simultaneously adjust lending requirements on the two types of loans. We find that the collateral shock, a change in the ability of the financial sector to redeploy collateral, is the most important force driving the business cycle. Hit by this unique disturbance, our model quantitatively replicates the joint dynamics of output, consumption, investment, employment, and both household and business credit quantities and spreads. The estimated collateral shock generates accurate movements in lending standards and tracks measures of market sentiment. (JEL E21, E23, E24, E32, E44, G21)
抵押品的冲击
我们根据美国的数据估计了一个宏观经济模型,其中银行向家庭和企业贷款,同时调整两种贷款的贷款要求。我们发现,抵押品冲击,即金融部门重新配置抵押品的能力的变化,是推动经济周期的最重要力量。受到这种独特干扰的影响,我们的模型定量地复制了产出、消费、投资、就业以及家庭和企业信贷数量和息差的联合动态。估计的抵押品冲击会导致贷款标准的准确变动,并追踪市场情绪指标。(凝胶e21, e23, e24, e32, e44, g21)
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来源期刊
CiteScore
8.20
自引率
1.70%
发文量
58
期刊介绍: American Economic Journal: Macroeconomics focuses on studies of aggregate fluctuations and growth, and the role of policy in that context. Such studies often borrow from and interact with research in other fields, such as monetary theory, industrial organization, finance, labor economics, political economy, public finance, international economics, and development economics. To the extent that they make a contribution to macroeconomics, papers in these fields are also welcome.
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