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dc.contributor.authorRadde, Sörenen_US
dc.date.accessioned2012-10-23T07:41:43Z-
dc.date.available2012-10-23T07:41:43Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/65408-
dc.description.abstractThis paper presents a dynamic stochastic general equilibrium model which studies the business-cycle implications of financial frictions and liquidity risk at the bank-level. Following Holmstr m and Tirole (1998), demand for liquidity reserves arises from the anticipation of idiosyncratic operating expenses during the execution phase of bank-financed investment projects. Banks react to adverse aggregate shocks by hoarding liquidity while being forced to decrease their leverage. Both effects amplify recessionary dynamics, since they crowd out funds available for investment financing. This mechanism is triggered by a market liquidity squeeze modelled as a shock to the collateral value of banks assets. This novel type of aggregate risk induces a credit crunch scenario which shares key features with the Great Recession such as strong output decline, pro-cyclical leverage and counter-cyclical liquidity hoarding. Unconventional credit policy in the form of a wealth transfer from households to credit constrained banks is shown to mitigate the credit crunch.en_US
dc.language.isoengen_US
dc.publisherZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft Kiel und Hamburgen_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jahrhunderts - Session: Banking and Macroeconomics B15-V2en_US
dc.subject.jelE22en_US
dc.subject.jelE32en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.titleLiquidity Crises, Banking, and the Great Recessionen_US
dc.typeConference Paperen_US
dc.identifier.ppn730348393-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:vfsc12:65408-
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2012: Neue Wege und Herausforderungen für den Arbeitsmarkt des 21. Jh.

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