Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Maria Teresa Punzi and Katrin Rabitsch

No 24, FinMaP-Working Papers from Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents

Abstract: TWe 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 distri- bution 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.

Keywords: Collateral Constraints; Leverage; Heterogeneity; Financial Amplification (search for similar items in EconPapers)
JEL-codes: E32 E44 (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-dge, nep-ias and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Investor borrowing heterogeneity in a Kiyotaki–Moore style macro model (2015)
Working Paper: Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model (2014)
Working Paper: Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fmpwps:24

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