Uncertainty Shocks and Balance Sheet Recessions
研究了资产负债表衰退的起源和传导机制，发现标准模型中TFP冲击无法解释，而不确定性冲击能驱动此类衰退，并探讨了对金融监管的启示。
This paper investigates the origin and propagation of balance sheet recessions. I first show that in standard models driven by TFP shocks, the balance sheet channel disappears when agents can write contracts on the aggregate state of the economy. Optimal contracts sever the link between leverage and aggregate risk sharing, eliminating the concentration of aggregate risk that drives balance sheet recessions. I then show that uncertainty shocks can help explain this concentration of aggregate risk and drive balance sheet recessions, even with contracts on aggregate shocks. The mechanism is quantitatively important, and I explore implications for financial regulation.