Data and Code for: Credit Spreads, Financial Crises and Macroprudential Policy
Principal Investigator(s): View help for Principal Investigator(s) Ozge Akinci, Federal Reserve Bank of New York; Albert Queralto, Federal Reserve Board
Version: View help for Version V1
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| ReplicationFiles | 12/19/2020 10:23:AM | ||
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application/pdf | 177.3 KB | 02/23/2021 09:58:AM |
Project Citation:
Akinci, Ozge, and Queralto, Albert. Data and Code for: Credit Spreads, Financial Crises and Macroprudential Policy. Nashville, TN: American Economic Association [publisher], 2022. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2022-03-25. https://doi.org/10.3886/E124481V1
Project Description
Summary:
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Credit spreads display occasional spikes and are more strongly countercyclical in times of elevated financial stress. Financial crises are extreme cases of this nonlinear behavior, featuring skyrocketing credit spreads, sharp losses in bank equity, and deep recessions. We develop and estimate a macroeconomic model with a banking sector in which banks' leverage constraints are occasionally binding and equity issuance is endogenous. The model captures the nonlinearities in the data and produces quantitatively realistic crises. Banks' precautionary equity issuance makes crises infrequent but does not prevent them altogether. A macroprudential policy inducing banks to issue more equity has considerable welfare benefits.
Scope of Project
Subject Terms:
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Financial Intermediation;
Leverage Constraints;
Occasionally Binding Constraints;
Financial Stability Policy
JEL Classification:
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E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
F41 Open Economy Macroeconomics
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
F41 Open Economy Macroeconomics
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