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Deutsches Institut für Wirtschaftsforschung (DIW), Berlin >
DIW-Diskussionspapiere >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66866
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Radde, Sören | | en_US |
| dc.date.accessioned | | 2012-11-23 | | en_US |
| dc.date.accessioned | | 2012-11-26T10:33:59Z | | - |
| dc.date.available | | 2012-11-26T10:33:59Z | | - |
| dc.date.issued | | 2012 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66866 | | - |
| dc.description.abstract | | This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to financial frictions and idiosyncratic funding liquidity risk in their intermediation activity. Importantly, the amount of liquidity reserves held in the financial sector is determined endogenously: Balance sheet constraints force banks to trade off insurance against funding outflows with loan scale. The model shows that an aggregate shock to the collateral value of bank assets triggers a flight to liquidity, which amplifies the initial shock and induces credit crunch dynamics sharing key features with the Great Recession. The paper thus develops a new balance sheet channel of shock transmission that works through the composition of banks' asset portfolios rather than fluctuations in borrower net worth as in the financial accelerator literature. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Deutsches Institut für Wirtschaftsforschung (DIW) Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, German Institute for Economic Research, DIW Berlin 1242 | | en_US |
| dc.subject.jel | | E22 | | en_US |
| dc.subject.jel | | E32 | | en_US |
| dc.subject.jel | | E44 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | real business cycles | | en_US |
| dc.subject.keyword | | financial frictions | | en_US |
| dc.subject.keyword | | liquidity hoarding | | en_US |
| dc.subject.keyword | | bank capital channel | | en_US |
| dc.subject.keyword | | credit crunch | | en_US |
| dc.title | | Flight-to-liquidity and the great recession | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 730406369 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des DIW DIW-Diskussionspapiere
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