Financial Cycles with Heterogeneous Intermediaries

• 成果类型: Article
• 署名作者: Coimbra, Nuno; Rey, Helene
• 署名单位: European Central Bank; Bank of France; Centre for Economic Policy Research - UK; University of London; London Business School; Centre for Economic Policy Research - UK; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdad039
• 发表日期: 2024
• 页码: 817-857
• 关键词: monetary-policy; capital regulation; leverage cycles; RISK; crises; banking; liquidity; IMPACT; booms

摘要

We develop a dynamic macroeconomic model with heterogeneous financial intermediaries and endogenous entry. Time-varying endogenous macroeconomic risk arises from the risk-shifting behaviour of the cross-section of financial intermediaries. When interest rates are high, a decrease in interest rates stimulates investment and decreases aggregate risk. In contrast, when they are low, further stimulus can increase financial instability while inducing a fall in the risk premium. In this case, there is a trade-off between stimulating the economy and financial stability. This provides a model of the risk-taking channel of monetary policy.