This paper builds a banking DSGE model with endogenous loan-to-value ratios which capture complex relationships between banks and firms. Reflecting the relationship between banks and enterprises, the loan-to-value ratio for state-owned enterprises is endogenously greater than that for private...

We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robustly followed by contractions, while shocks to...