Bank Leverage Cycles and the External Finance Premium
结合Gertler-Karadi和Bernanke-Gertler-Gilchrist模型，构建包含银行和非金融企业杠杆约束的DSGE模型，校准美国数据后能更好匹配外部融资溢价波动和银行杠杆顺周期性，并解释大衰退期间投资收缩和外部融资溢价上升。
By combining the approaches of Gertler and Karadi (2011) (GK) and Bernanke, Gertler, and Gilchrist (1999) (BGG), I develop a Dynamic Stochastic General Equilibrium (DSGE) model with leverage constraints both in the banking and in the nonfinancial firm sector. I calibrate this “full model” to US data. The full model matches the relative volatility of the external finance premium and the procyclicality of bank leverage and thus outperforms both a BGG and a GK‐type model. For a reasonably calibrated combination of balance sheet shocks, the model reproduces a substantial share of the contraction (increase) of investment (the external finance premium) observed during the “Great Recession.”