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We study bank responses to the Paycheck Protection Program (PPP) and its effects on lender balance sheets and profitability. To address the endogeneity between bank decisions and balance sheet effects, we develop a Bayesian joint model that examines the decision to participate, the intensity of...
Persistent link: https://www.econbiz.de/10013217719
The amount of credit in the economy is a heterogeneous aggregate that can be analyzed across different dimensions. Considering such dimensions provides insights into the effect of monetary policy interventions because the credit components are observed to respond differently. Several possible...
Persistent link: https://www.econbiz.de/10013218294
This paper identifies shocks to bank credit supply based on firms’ aggregate debt composition. I use a model where firms fund production with bonds and loans. Only bank shocks imply opposite movements in the two types of debt as firms adjust their debt composition to new credit conditions. I...
Persistent link: https://www.econbiz.de/10013219950
We investigate the transmission of financial shocks through the macroeconomy. To that end we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities. First, we allow for the transition probabilities to be dependent on the state of...
Persistent link: https://www.econbiz.de/10013242248
We conduct a novel empirical analysis of the role of leverage of financial institutions for the transmission of financial shocks to the macroeconomy. For that purpose, we develop an endogenous regime-switching structural vector autoregressive model with time-varying transition probabilities that...
Persistent link: https://www.econbiz.de/10013206631
This work quantifies the financial and macroeconomic effects of the most significant Brexit events from 23 June 2016 up to 31 December 2019 for fifteen economies. The study uses high-frequency data and shows that following the referendum outcome, overall the 10-year government bond yield of the...
Persistent link: https://www.econbiz.de/10013289046
During banking crises, regulators must decide between bailouts or liquidations,neither of which are publicly popular. A comprehensive assessment of regulators,however, requires examining all their decisions against regulators’ objectives of preserving financial stability while discouraging...
Persistent link: https://www.econbiz.de/10013289554
I use micro data to quantify key features of U.S. firm financing. In particular, I establish that a substantial 35% of firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these features and fit the model to business cycle data using...
Persistent link: https://www.econbiz.de/10013038047
This paper identifies shocks to credit conditions based on aggregate firms' debt composition. I develop a model where firms fund production with bonds and loans. Only financial shocks imply opposite movements in the two types of debt as firms adjust their debt composition to new credit...
Persistent link: https://www.econbiz.de/10012830415
Banking cost or X-efficiency is dependent upon the frontier analysis method used to measure the efficient frontier. Parametric methods require estimation of a composite error model where the bank's efficiency parameter is a portion of the bank's deviation from the cost frontier of the banking...
Persistent link: https://www.econbiz.de/10012740192