Understanding Bank and Nonbank Credit Cycles: A Structural Exploration
نویسندگان
چکیده
We explore the structural drivers of bank and nonbank credit cycles using a medium-scale dynamic stochastic general equilibrium (DSGE) model with two types financial intermediation. posit economywide sectoral disturbances in both macro sectors. estimate that shocks to balance sheets entrepreneurs are important for fluctuations growth at business cycle frequency. Economywide entrepreneurial risk gain predominance explaining lower frequency comovement between series. Macro play very little role cycles.
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ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2022
ISSN: ['1538-4616', '0022-2879']
DOI: https://doi.org/10.1111/jmcb.12918