We estimate the structural parameters of a quantitative banking model featuring maturity transformation and endogenous failures in the presence of undiversifiable background risk and regulatory constraints. Pervasive balance sheet cross-sectional heterogeneity can be rationalized with...

Ex-ante cost of aggregate fluctuations consist of all individual and social cost expanded by optimizing agents aiming to prevent or reduce fluctuations of consumption. These are measured by the cost of resources used to attain the level of consumption volatility currently observed. This paper...