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A Macroeconomic Model with Financially Constrained Producers and Intermediaries

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  • Van Nieuwerburgh, Stijn
  • Landvoigt, Tim
  • Elenev, Vadim

Abstract

We propose a model that can simultaneously capture the sharp and persistent drop in macro-economic aggregates and the sharp change in credit spreads observed in the U.S. during the Great Recession. The model features financial intermediaries that make long-term defaultable loans to producers and raise short-term debt from savers. Intermediaries are subject to a regulatory equity capital constraint. Policies limiting intermediary leverage redistribute wealth from savers to equity owners of producers and intermediaries. The benefits of lower intermediary leverage for financial stability are offset by the costs from lower output. Current capital requirements are close to optimal.

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  • Van Nieuwerburgh, Stijn & Landvoigt, Tim & Elenev, Vadim, 2017. "A Macroeconomic Model with Financially Constrained Producers and Intermediaries," CEPR Discussion Papers 12282, C.E.P.R. Discussion Papers.
  • Handle: RePEc:cpr:ceprdp:12282
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    More about this item

    Keywords

    Financial intermediation; Macroprudential policy; Credit spread; Intermediary-based asset pricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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