The Macroeconomic Effects of Shocks to Large Banks’ Capital
提出一种量化大型银行杠杆冲击对宏观经济影响的方法，先估计银行层面的杠杆目标动态模型，再通过货币VAR模型评估冲击对信贷和实际活动的影响。
Abstract We propose a simple approach to quantifying the macroeconomic effects of shocks to large banks’ leverage. We first estimate a standard dynamic model of leverage targeting at the bank level and use it to derive an aggregate measure of the economic capital buffer of large US bank holding corporations. We then evaluate the response of key macro variables to a shock to this aggregate bank capital buffer using standard monetary VAR models. We find that shocks to the capital of large US banks explain a substantial share of the variance of credit to firms and real activity.