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 V2
Name | File Type | Size | Last Modified |
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Data-Files | 08/18/2020 09:23:AM | ||
CS.mod | text/x-matlab | 27.8 KB | 08/18/2020 05:18:AM |
CS_param.m | text/x-matlab | 2.3 KB | 06/30/2020 04:27:AM |
CS_steadystate.m | text/x-matlab | 20.9 KB | 06/29/2020 09:32:AM |
CSdataestim.m | text/x-matlab | 10.7 KB | 08/17/2020 05:59:AM |
CSdataestim.mat | application/x-matlab-data | 11.7 KB | 08/18/2020 05:06:AM |
CSdataother.m | text/x-matlab | 15 KB | 08/18/2020 04:17:AM |
CSdataother.mat | Unknown | 24.8 KB | 08/18/2020 05:06:AM |
CSfig1.m | text/x-matlab | 2.7 KB | 08/18/2020 04:15:AM |
CSfig2.m | text/x-matlab | 12.1 KB | 08/18/2020 04:44:AM |
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Project Citation:
Becard, Yvan, and Gauthier, David. Data and Code for Collateral Shocks. Nashville, TN: American Economic Association [publisher], 2021. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2021-12-17. https://doi.org/10.3886/E120103V2
Project Description
Summary:
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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:
View help for JEL Classification
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G21 Banks; Depository Institutions; Micro Finance Institutions; Mortgages
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