A Macroeconomic Model With Financially Constrained Producers and Intermediaries

• 成果类型: Article
• 署名作者: Elenev, Vadim; Landvoigt, Tim; Van Nieuwerburgh, Stijn
• 署名单位: Johns Hopkins University; University of Pennsylvania; Columbia University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA16438
• 发表日期: 2021
• 页码: 1361-1418
• 关键词: monetary-policy; capital regulation; credit spreads; CONTRACTS; crises

摘要

How much capital should financial intermediaries hold? We propose a general equilibrium model with a financial sector that makes risky long-term loans to firms, funded by deposits from savers. Government guarantees create a role for bank capital regulation. The model captures the sharp and persistent drop in macro-economic aggregates and credit provision as well as the sharp change in credit spreads observed during financial crises. Policies requiring intermediaries to hold more capital reduce financial fragility, reduce the size of the financial and non-financial sectors, and lower intermediary profits. They redistribute wealth from savers to the owners of banks and non-financial firms. Pre-crisis capital requirements are close to optimal. Counter-cyclical capital requirements increase welfare.