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Replication data for: Bank Leverage Cycles

Version
V0
Resource Type
Dataset
Creator
  • Nuño, Galo
  • Thomas, Carlos
Publication Date
2017-01-06
Description
  • Abstract

    We propose a general equilibrium framework with financial intermediaries subject to endogenous leverage constraints, and assess its ability to explain the observed fluctuations in intermediary leverage and real economic activity. In the model, intermediaries ("banks") borrow in the form of short-term risky debt. The presence of risk-shifting moral hazard gives rise to a leverage constraint, and creates a link between the volatility in bank asset returns and leverage. Unlike TFP or capital quality shocks, volatility shocks produce empirically plausible fluctuations in bank leverage. The model replicates well the fall in leverage, assets, and GDP during the 2007-2009 financial crisis.
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20140084 (Text)
Publications
  • Nuño, Galo, and Carlos Thomas. “Bank Leverage Cycles.” American Economic Journal: Macroeconomics 9, no. 2 (April 2017): 32–72. https://doi.org/10.1257/mac.20140084.
    • ID: 10.1257/mac.20140084 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Nuño, Galo; Thomas, Carlos (2017): Replication data for: Bank Leverage Cycles. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E114090