Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Punzi, Maria Teresa and Rabitsch, Katrin (2015) Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model. Economics Letters, 130. pp. 75-79. ISSN 0165-1765

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Abstract

We introduce heterogeneity in investors' ability to borrow from collateral in a Kiyotaki-Moore style macro model, calibrated to the quintiles of the leverage-ratio distribution of US non-financial firms. Financial amplification intensifies, because of stronger asset price reactions of highly levered investors. (authors' abstract)

Item Type: Article
Classification Codes: JEL E32, E44
Divisions: Departments > Volkswirtschaft
Departments > Volkswirtschaft > Au├čenwirtschaft und Entwicklung
Version of the Document: Published
Variance from Published Version: None
Depositing User: Katrin Rabitsch
Date Deposited: 13 Jul 2015 14:29
Last Modified: 04 Feb 2016 09:55
Related URLs:
FIDES Link: https://bach.wu.ac.at/d/research/results/71203/
URI: https://epub.wu.ac.at/id/eprint/4581

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