Financial crises and shadow banks: A quantitative analysis

• 成果类型: Article
• 署名作者: Rottner, Matthias
• 署名单位: Deutsche Bundesbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.06.006
• 发表日期: 2023
• 页码: 74-92
• 关键词: JEL classification; E32; E44; G23; financial crises; leverage; Nonlinear estimation; zero lower bound; monetary policy

摘要

Motivated by the build-up of shadow bank leverage prior to the financial crisis of 2007- 2008, I develop a nonlinear macroeconomic model featuring excessive leverage accumula-tion and endogenous runs to capture the dynamics and quantify the build-up of instabil-ity. Incorporating monetary policy, I demonstrate that the zero lower bound increases the crises frequency and lowers welfare. The model is taken to U.S. data to estimate the run probability around the financial crisis of 20 07-20 08. The estimated run risk was already considerable in 2005 and kept increasing. Counterfactual simulations evaluate whether monetary interventions boost welfare and could have averted the financial crisis.(c) 2023 Elsevier B.V. All rights reserved.