Banking Panic Risk and Macroeconomic Uncertainty
构建包含银行部门的生产经济模型，发现银行恐慌概率上升会加剧宏观经济不确定性，反之亦然，且该渠道放大了不确定性冲击的宏观效应，反周期资本缓冲通过降低恐慌概率提升福利。
Abstract We explore the interactions between banking panics and uncertainty shocks. To do so, we build a model of a production economy with a banking sector. In the model, financial constraints of banks can lead to disastrous banking panics. We find that a higher probability of a banking panic increases macroeconomic uncertainty. Vice versa, a shock to macroeconomic uncertainty increases the likelihood of a banking panic. This banking panic channel amplifies the macroeconomic effects of uncertainty shocks. A countercyclical capital buffer increases welfare by reducing the likelihood of a banking panic.