Macroeconomic Implications of “Deep Habits” in Banking
研究发现美国银行信贷市场的价格成本比率具有逆周期性，源于客户转换银行成本高导致的借款人锁定效应。通过将深度习惯框架应用于金融市场，模型能复现数据中的价格成本比率模式，并表明借款人锁定效应越强，全要素生产率冲击的实际影响越大，产出、投资和就业波动性也更高。
Recent empirical evidence shows that price‐cost margins in the market for bank credit are countercyclical in the U.S. economy and that this cyclical behavior can be explained in part from the fact that switching banks is costly for customers (i.e., from a borrower hold‐up effect). Our goal, in this paper, is to study the “financial accelerator” role of these countercyclical margins as a propagation mechanism of macroeconomic shocks. To do so, we apply the “deep habits” framework in Ravn, Schmitt‐Grohé, and Uribe (2006) to financial markets to model this hold‐up effect within a monopolistically competitive banking industry. We are able to reproduce the pattern of price‐cost margins observed in the data, and to show that the real effects of aggregate total factor productivity shocks are larger the stronger the friction implied by borrower hold‐up. Also, output, investment, and employment all become more volatile than in a standard model with constant margins in credit markets. An empirical contribution of our work is to provide structural estimates of the deep habits parameters for financial markets.