Investor borrowing heterogeneity in a Kiyotaki–Moore style macro model

Maria Teresa Punzi and Katrin Rabitsch

Economics Letters, 2015, vol. 130, issue C, 75-79

Abstract: We introduce heterogeneity in investors’ ability to borrow from collateral in a Kiyotaki–Moore style macro model, calibrated to the quintiles of the leverage-ratio distribution of US non-financial firms. Financial amplification intensifies, because of stronger asset price reactions of highly levered investors.

Keywords: Collateral constraints; Leverage; Heterogeneity; Financial amplification (search for similar items in EconPapers)
JEL-codes: E32 E44 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:130:y:2015:i:c:p:75-79

DOI: 10.1016/j.econlet.2015.03.007

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