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Investor borrowing heterogeneity in a Kiyotaki-Moore style macro modelPunzi, Maria Teresa, Rabitsch, Katrin 05 1900 (has links) (PDF)
We introduce heterogeneity in investors' ability to borrow from collateral in a Kiyotaki-Moore style macro model, calibrated to the quintiles of the leverage-ratio distribution of US non-financial firms. Financial amplification intensifies, because of stronger asset price reactions of highly levered investors. (authors' abstract)
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Investor borrowing heterogeneity in a Kiyotaki-Moore style macro modelPunzi, Maria Teresa, Rabitsch, Katrin 11 1900 (has links) (PDF)
We allow for heterogeneity in investors' ability to borrow from collateral in a Kiyotaki-Moore style macro model. We calibrate the model to match the quintiles of the distribution of leverage ratios of US non-financial firms. We show that financial amplification of the model with heterogeneous investors can be orders of magnitude higher, because of more pronounced asset price reactions. / Series: Department of Economics Working Paper Series
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