Replication data for: Bank Leverage Cycles

Principal Investigator(s):  View help for Principal Investigator(s) Galo Nuño; Carlos Thomas

Version:  View help for Version V1

Name File Type Size Last Modified
  Replication-files 10/25/2021 01:09:PM
LICENSE.txt text/plain 14.6 KB 10/12/2019 03:33:PM

Project Citation: 

Nuño, Galo, and Thomas, Carlos. Replication data for: Bank Leverage Cycles. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114090V1

Project Description

Summary:  View help for Summary We propose a general equilibrium framework with financial intermediaries subject to endogenous leverage constraints, and assess its ability to explain the observed fluctuations in intermediary leverage and real economic activity. In the model, intermediaries ("banks") borrow in the form of short-term risky debt. The presence of risk-shifting moral hazard gives rise to a leverage constraint, and creates a link between the volatility in bank asset returns and leverage. Unlike TFP or capital quality shocks, volatility shocks produce empirically plausible fluctuations in bank leverage. The model replicates well the fall in leverage, assets, and GDP during the 2007-2009 financial crisis.

Scope of Project

Subject Terms:  View help for Subject Terms Aggregate macro-ficial data
JEL Classification:  View help for JEL Classification
      D82 Asymmetric and Private Information; Mechanism Design
      E44 Financial Markets and the Macroeconomy
      G01 Financial Crises
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
      G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Geographic Coverage:  View help for Geographic Coverage United States
Time Period(s):  View help for Time Period(s) 1/1981 – 6/2014
Data Type(s):  View help for Data Type(s) program source code; aggregate data

Methodology

Data Source:  View help for Data Source Flow of funds

Related Publications

Download this project

Published Versions

V1 [2019-10-12]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.