Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91727
Authors: 
Rannenberg, Ansgar
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 55/2013
Abstract: 
By combining the approaches of Gertler and Karadi (2011) and Bernanke et al. (1999), I develop a DSGE model with leverage constraints both in the banking and in the non-financial firm sector. I calibrate this full model to US data. In a world with only a monetary policy and a productivity shock, the full model matches the relative volatility of the external finance premium, while a BGG model generates too low volatility. The full model also matches the procyclicality of bank leverage, unlike the GK model. For a reasonably calibrated combination shocks to the net worth of banks and non-financial firms, the model reproduces a substantial share of the contraction (increase) of investment (the external finance premium) observed during the Great Recession.
Subjects: 
leverage cycle
bank capital
financial accelerator
output effects of financial shocks
JEL: 
E50
E52
ISBN: 
978-3-95729-001-4
Document Type: 
Working Paper

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