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Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Punzi, Maria Teresa and Rabitsch, Katrin (2014) Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model. Department of Economics Working Paper Series, 189. WU Vienna University of Economics and Business, Vienna.

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Abstract

We allow for heterogeneity in investors' ability to borrow from collateral in a Kiyotaki-Moore style macro model. We calibrate the model to match the quintiles of the distribution of leverage ratios of US non-financial firms. We show that financial amplification of the model with heterogeneous investors can be orders of magnitude higher, because of more pronounced asset price reactions. (authors' abstract)

Item Type: Paper
Keywords: Collateral Constraints / Leverage / Heterogeneity / Financial Amplification
Classification Codes: JEL E32, E44
Divisions: Departments > Volkswirtschaft
Depositing User: Claudia Tering-Raunig
Date Deposited: 11 Nov 2014 13:49
Last Modified: 01 Aug 2016 15:58
FIDES Link: https://bach.wu.ac.at/d/research/results/68928/
URI: http://epub.wu.ac.at/id/eprint/4348

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