Understanding Bank and Nonbank Credit Cycles: A Structural Exploration
使用包含两类金融中介的中等规模DSGE模型，估计了企业家资产负债表冲击对银行与非银行信贷周期波动的重要性，发现宏观冲击对金融周期解释力很弱。
Abstract We explore the structural drivers of bank and nonbank credit cycles using a medium‐scale dynamic stochastic general equilibrium (DSGE) model with two types of financial intermediation. We posit economywide and sectoral disturbances in both macro and financial sectors. We estimate that sectoral shocks to the balance sheets of entrepreneurs are important for fluctuations in bank and nonbank credit growth at the business cycle frequency. Economywide entrepreneurial risk shocks gain predominance for explaining the lower frequency comovement between the two series. Macro shocks play very little role in explaining financial cycles.