Quotation Rabitsch, Katrin, Punzi, Maria Teresa. 2014. Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model. WU Economics Working Paper #189.


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Abstract

We allow for heterogeneity in investors' ability to borrow from collateral in a Kiyotaki-Moore style macro model. We calibrate the model to match the quintiles of the distribution of leverage ratios of US non-financial firms. We show that financial amplification of the model with heterogeneous investors can be orders of magnitude higher, because of more pronounced asset price reactions.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Working/discussion paper, preprint
Language English
Title Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model
Title of whole publication WU Economics Working Paper #189
Year 2014
URL http://epub.wu.ac.at/4348/1/wp189.pdf

Associations

Projects
FinMaP: Financial Distortions and Macroeconomic Performance
People
Rabitsch-Schilcher, Katrin (Details)
Punzi, Maria Teresa (Former researcher)
Organization
Department of Economics DP (Details)
Institute for International Economics and Development IN (Details)
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