of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. Exogenous … is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in which … volatility of aggregate shocks. In low volatility periods, financial intermediaries lever up, which makes their balance sheets …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …

consistent with the data. Banking regulation, while stabilizing at the aggregate level, may induce volatility at the household …