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Collateral Shocks
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DOI：10.1257/mac.20190223.png)
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Abstract
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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.
Keywords:
MONETARY-POLICY
BUSINESS CYCLES
HOUSE PRICES
CREDIT
DYNAMICS
DEBT
Journal
A
IF:
5.7
Papers:
1.4K
Citations:
4.4K
Organization
Cited Papers
Credit Booms Gone Bust: Monetary Policy, Leverage Cycles, and Financial Crises, 1870-2008.png)
AMERICAN ECONOMIC REVIEW
AMERICAN ECONOMIC REVIEWIF11.6
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