In a NK model with two types of rational agents, savers and capitalists, and non- maximizing banks, nancial shocks do a¤ect the macroeconomic dynamics depending on banksbehaviour as for their leverage ratio. We rst show that the level of banks leverage - which may be imposed by banks regulation - a¤ects the steady state level of output, employment and consumption, as might be expected in a non-Modigliani- Miller world. Di¤erent banks behaviour after a shock has widely di¤erent e¤ects on the macroeconomic dynamics: passive leverage results to be shock absorbing and capable of neutralizing an initial nancial shock, whilst procyclical behaviour implies higher and more persistent instability and distributive e¤ects than the constant lever- age behaviour. Finally, we show that the interaction of procyclical leverage with hysteresis in output and employment stregthens the persistence of financial shocks.
Boitani, A., Punzo, C., Banks’ leverage behaviour in a two-agent New Keynesian model, <<Working Paper n. 63 Dipartimento di Economia e Finanza, Università Cattolica del Sacro Cuore>>, 2018; 2018 (63): 1-29 [http://hdl.handle.net/10807/121833]
Banks’ leverage behaviour in a two-agent New Keynesian model
Boitani, Andrea;Punzo, Chiara
2018
Abstract
In a NK model with two types of rational agents, savers and capitalists, and non- maximizing banks, nancial shocks do a¤ect the macroeconomic dynamics depending on banksbehaviour as for their leverage ratio. We rst show that the level of banks leverage - which may be imposed by banks regulation - a¤ects the steady state level of output, employment and consumption, as might be expected in a non-Modigliani- Miller world. Di¤erent banks behaviour after a shock has widely di¤erent e¤ects on the macroeconomic dynamics: passive leverage results to be shock absorbing and capable of neutralizing an initial nancial shock, whilst procyclical behaviour implies higher and more persistent instability and distributive e¤ects than the constant lever- age behaviour. Finally, we show that the interaction of procyclical leverage with hysteresis in output and employment stregthens the persistence of financial shocks.File | Dimensione | Formato | |
---|---|---|---|
economia-finanza-def063.pdf
accesso aperto
Tipologia file ?:
Versione Editoriale (PDF)
Licenza:
Non specificato
Dimensione
580.61 kB
Formato
Adobe PDF
|
580.61 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.