Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Maria Teresa Punzi; Katrin Rabitsch-Schilcher

doi:10.1016/j.econlet.2015.03.007

Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Maria Teresa Punzi, Katrin Rabitsch-Schilcher

Publication: Scientific journal › Journal article › peer-review

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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.

Original language	English
Pages (from-to)	75 - 79
Journal	Economics Letters
Volume	130
DOIs	https://doi.org/10.1016/j.econlet.2015.03.007
Publication status	Published - 2015

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University Library Catalogue

FinMaP: Financial Distortions and Macroeconomic Performance
Rabitsch-Schilcher, K. (PI - Project head), Punzi, M. T. (Researcher) & Schoder, C. (Researcher)
1/01/14 → 31/12/16
Project: Research funding

Cite this

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title = "Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model",

abstract = "We introduce heterogeneity in investors{\textquoteright} 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.",

author = "Punzi, {Maria Teresa} and Katrin Rabitsch-Schilcher",

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AB - 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.

U2 - 10.1016/j.econlet.2015.03.007

DO - 10.1016/j.econlet.2015.03.007

M3 - Journal article

SN - 0165-1765

VL - 130

SP - 75

EP - 79

JO - Economics Letters

JF - Economics Letters

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Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Abstract

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FinMaP: Financial Distortions and Macroeconomic Performance

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