Bank Leverage Cycles

• 成果类型: Article
• 署名作者: Nuno, Galo; Thomas, Carlos
• 署名单位: Banco de Espana
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140084
• 发表日期: 2017
• 页码: 32-72
• 关键词: Capital requirements; corporate-debt; AGENCY COSTS; RISK; BEHAVIOR; MODEL

摘要

We propose a general equilibrium framework with financial intermediaries subject to endogenous leverage constraints, and assess its ability to explain the observed fluctuations in intermediary leverage and real economic activity. In the model, intermediaries (banks) borrow in the form of short-term risky debt. The presence of risk-shifting moral hazard gives rise to a leverage constraint, and creates a link between the volatility in bank asset returns and leverage. Unlike TFP or capital quality shocks, volatility shocks produce empirically plausible fluctuations in bank leverage. The model replicates well the fall in leverage, assets, and GDP during the 2007-2009 financial crisis.