Collateral Shocks

• 成果类型: Article
• 署名作者: Becard, Yvan; Gauthier, David
• 署名单位: Pontificia Universidade Catolica do Rio de Janeiro; Bank of England
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20190223
• 发表日期: 2022
• 页码: 83-103
• 关键词: monetary-policy; business cycles; house prices; credit; DYNAMICS; debt

摘要

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.