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Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model
Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model
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Date
2015
Authors
Punzi, Maria Teresa, Rabitsch, Katrin
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Abstract
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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"Publisher: Wirtschaftsuniversität Wien ; Source: http://dx.doi.org/10.1016/j.econlet.2015.03.007 ; Level: Article"