Financial frictions, trends, and the great recession
نویسندگان
چکیده
منابع مشابه
Financial Frictions, Asset Prices, and the Great Recession
We study financial shocks to households’ ability to borrow in an economy that quantitatively replicates U.S. earnings, financial, and housing wealth distributions and the main macro aggregates. Such shocks generate large recessions via the negative wealth effect associated with the large drop in house prices triggered by the reduced access to credit of a large number of households. The model in...
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Balance-sheet variables of firms have been characterized by greater volatility since the early 1970s. This Financial Immoderation has coexisted with the so-called Great Moderation, which refers to the slowdown in volatility of real and nominal variables since the mid 1980s. In this paper, we examine the divergent patterns in volatility by considering the role played by financial factors. To do ...
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A case can be made for the Great Recession being the result of a large financial shock that makes household borrowing difficult. The channel involves large reductions in house prices, which trigger sharp reductions in consumption. We discuss the ingredients that a quantitative model of the economy requires to be successful in implementing such a theory. They include: wealth heterogeneity where ...
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This paper develops a simple business-cycle model in which the financial sector originates a structural change that has large macroeconomic effects when private agents are gradually learning their economic environment. When the persistence of the unobserved process driving financial shocks to the leverage ratio changes, the responses of output and other aggregates under adaptive learning are si...
متن کاملFinancial frictions and shocks
This paper aims to quantify the extent to which sources of economic uctuations generate in the nancial markets. First, a novel identi cation method is introduced into a Bayesian VAR model in order to identify a nancial type shock which we refer to as a `risk news' shock. We identify the risk news shock in macroeconomic time series for the US, while simultaneously identifying other standard macr...
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2019
ISSN: 1759-7323
DOI: 10.3982/qe702