Credit Spreads, Financial Crises, and Macroprudential Policy
构建并估计了一个包含银行部门的宏观经济模型，其中银行的杠杆约束偶尔生效且股权发行是内生的，模型能捕捉信用利差的非线性特征并产生量上逼真的危机，发现银行的预防性股权发行使危机不频繁但无法完全避免，而促使银行发行更多股权的宏观审慎政策有显著的福利收益。
Credit spreads display occasional spikes and are more strongly countercyclical in times of elevated financial stress. Financial crises are extreme cases of this nonlinear behavior, featuring skyrocketing credit spreads, sharp losses in bank equity, and deep recessions. We develop and estimate a macroeconomic model with a banking sector in which banks’ leverage constraints are occasionally binding and equity issuance is endogenous. The model captures the nonlinearities in the data and produces quantitatively realistic crises. Banks’ precautionary equity issuance makes crises infrequent but does not prevent them altogether. A macroprudential policy inducing banks to issue more equity has considerable welfare benefits.