Financial Frictions and the Wealth Distribution
构建了一个包含金融部门和家庭的连续时间异质性主体模型，研究金融摩擦如何通过债券供需互动产生内生风险，导致经济在高杠杆和低杠杆区域间转换，并造成脉冲响应的状态依赖性。
We postulate a continuous‐time heterogeneous agent model with a financial sector and households to study the nonlinear linkages between aggregate and financial variables. In our model, the interaction between the supply of bonds by the financial sector and the precautionary demand for bonds by households produces significant endogenous aggregate risk . This risk makes the economy transition between a high‐leverage region and a low‐leverage region, which, in turn, creates state dependence in impulse responses: the same shock starting from the high‐leverage region gets propagated and amplified more than when the shock arrives when leverage is low. State dependence in impulse responses generates a time‐varying aggregate precautionary savings motive that, by moving the risk‐free rate, justifies the leverage level of the financial sector in each region. Finally, we illustrate the usefulness of neutral networks to solve for the nonlinear perceived law of motion of the model, and the importance of household heterogeneity in driving its quantitative properties.