Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

Maria Teresa Punzi and Katrin Rabitsch

No 189, Department of Economics Working Paper Series from WU Vienna University of Economics and Business

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)
Date: 2014-11
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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)
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