2024-03-29T06:10:49
114090
Fri Mar 29 06:10:49 EDT 2024
Replication data for: Bank Leverage Cycles
Galo Nuño
Carlos Thomas
114090
https://doi.org/10.3886/E114090V1
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.
Aggregate macro-ficial data
D82 Asymmetric and Private Information; Mechanism Design
E44 Financial Markets and the Macroeconomy
G01 Financial Crises
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
United States
1/1981 – 6/2014
program source code
aggregate data
Flow of funds