Charge-offs, Defaults and the Financial Accelerator
نویسندگان
چکیده
Abstract U.S. banks countercyclically vary the ratio of charge-offs to defaulted loans (COD) and standard deviation COD is roughly 15 times that GDP. We show canonical financial accelerator models cannot explain these facts, but introducing stochastic default costs risk can potentially resolve discrepancy. Estimating augmented model including both surprise news shocks reveals cost account for most variance COD. Also, in many specifications we work with, always at least 20 percent investment, while a significant portion variation credit spread, around 10 investment growth. Both also material amount hours output
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ژورنال
عنوان ژورنال: B E Journal of Macroeconomics
سال: 2022
ISSN: ['2194-6116', '1935-1690']
DOI: https://doi.org/10.1515/bejm-2021-0078