Financial Intermediaries, Credit Shocks and Business Cycles
研究了美国商业银行资产负债表变量的周期特征，并构建包含金融部门的真实经济周期模型，发现银行净值冲击对解释金融和宏观经济波动、特别是2007-09年衰退有重要作用。
Abstract We document the cyclical properties of aggregate balance sheet variables of the US commercial banks: (i) Bank credits and deposits are less volatile than output, while net worth and leverage ratio are several times more volatile, (ii) bank credits and net worth are procyclical, while deposits, leverage ratio and loan spread are countercyclical. We then present a real business cycle model with a financial sector to investigate how the dynamics of macroeconomic aggregates and balance sheet variables of the US banks are influenced by empirically disciplined shocks to bank net worth. Both calibrated and estimated versions of the model show that these financial shocks are important not only for explaining the dynamics of financial flows but also for the dynamics of macroeconomic variables. We find that the recent deterioration in aggregate net worth of the US banking sector contributed significantly to the 2007–09 recession.