Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Maria Teresa Punzi and Katrin Rabitsch

Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics

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.

Keywords: Collateral Constraints; Leverage; Heterogeneity; Financial Amplification (search for similar items in EconPapers)
JEL-codes: E32 E44 (search for similar items in EconPapers)
Date: 2014-11
New Economics Papers: this item is included in nep-ban, nep-dge and nep-mac
Note: PDF Document
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://epub.wu.ac.at/4348/1/wp189.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (https://epub.wu.ac.at/4348/1/wp189.pdf [302 FOUND]--> https://research.wu.ac.at/en/publications/80639373-df9a-4dfb-823c-d9728d8b2b51)

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wiw:wiwwuw:wuwp189

Access Statistics for this paper

More papers in Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics Welthandelsplatz 1, 1020 Vienna, Austria.
Bibliographic data for series maintained by Department of Economics ().