Investor borrowing heterogeneity in a Kiyotaki-Moore style macro model

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.

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Year of publication:	2014
Authors:	Punzi, Maria Teresa ; Rabitsch, Katrin
Publisher:	Kiel : Kiel University, FinMaP - Financial Distortions and Macroeconomic Performance
Subject:	Collateral Constraints \| Leverage \| Heterogeneity \| Financial Amplification

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Series:	FinMaP-Working Paper ; 24
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	815413394 [GVK] hdl:10419/106212 [Handle] RePEc:zbw:fmpwps:24 [RePEc]
Classification:	E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy
Source:	EconStor

Persistent link: https://www.econbiz.de/10010464389