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Data and Code for Collateral Shocks

Principal Investigator(s): View help for Principal Investigator(s) Yvan Becard, PUC-Rio; David Gauthier, Bank of England

Version: View help for Version V1

Name	File Type	Size	Last Modified
CS.mod	text/x-matlab	27.8 KB	06/29/2020 05:07:AM
CS_param.m	text/x-matlab	2.3 KB	07/13/2013 01:04:AM
CS_steadystate.m	text/x-matlab	20.6 KB	06/29/2020 09:32:AM
CSdataestim.mat	application/x-matlab-data	11.7 KB	07/13/2013 01:04:AM
CSdataother.mat	Unknown	24.6 KB	06/28/2020 02:03:PM
CSfig1.m	text/x-matlab	2.7 KB	06/30/2020 04:30:AM
CSfig2.m	text/x-matlab	11.9 KB	06/29/2020 07:14:AM
CSfig3.m	text/x-matlab	4.9 KB	06/29/2020 07:14:AM
CSfig4.m	text/x-matlab	11.2 KB	06/29/2020 07:15:AM
CSfig5.m	text/x-matlab	5.3 KB	06/29/2020 09:27:AM

Project Citation:

Becard, Yvan, and Gauthier, David. Data and Code for Collateral Shocks. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-06-30. https://doi.org/10.3886/E120103V1

Project Description

Summary:

We estimate a macroeconomic model on US data where banks lend to households and businesses and simultaneously adjust lending requirements on the two types of loans. We find that the collateral shock, a change in the ability of the financial sector to redeploy collateral, is the most important force driving the business cycle. Hit by this unique disturbance, our model quantitatively replicates the joint dynamics of output, consumption, investment, employment, and both household and business credit quantities and spreads. The estimated collateral shock generates accurate movements in lending standards and tracks measures of market sentiment.

Scope of Project

JEL Classification:
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages

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Published Versions

V2 [2021-12-17]

V1 [2020-06-30]

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DDI 2.5

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