IDEAS home Printed from https://ideas.repec.org/p/hal/wpaper/hal-04058856.html

Shadow Banking and the great recession : evidence from an estimated DSGE model

Author

Listed:
  • Patrick Fève

    (TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - Comue de Toulouse - Communauté d'universités et établissements de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

  • Alban Moura

    (Banque Centrale du Luxembourg)

  • Olivier Pierrard

    (Banque Centrale du Luxembourg)

Abstract

We argue that shocks to traditional and shadow banks were important drivers of the U.S. economy during the Great Recession and the Slow Recovery. This result follows from a DSGE model featuring a heterogeneous banking sector estimated from macroeconomic and financial observables. Our model attributes the Great Recession to negative shocks to the aggregate supply of loans. A more novel result is that a shock specific to shadow bank intermediation accounts for much of the Slow Recovery. Therefore, our estimates suggest that accounting for the collapse of shadow banking after the financial crisis is important to explain the subdued path of GDP, investment, and inflation several years into the recovery.

Suggested Citation

  • Patrick Fève & Alban Moura & Olivier Pierrard, 2019. "Shadow Banking and the great recession : evidence from an estimated DSGE model," Working Papers hal-04058856, HAL.
    • Handle: RePEc:hal:wpaper:hal-04058856
    Note: View the original document on HAL open archive server: https://hal.science/hal-04058856v1
    as

    Download full text from publisher

    File URL: https://hal.science/hal-04058856v1/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fève, Patrick & Moura, Alban & Pierrard, Olivier, 2022. "The fall in shadow banking and the slow U.S. recovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    2. Philipp Kirchner, 2020. "On shadow banking and fiÂ…nancial frictions in DSGE modeling," MAGKS Papers on Economics 202019, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Kirchner Philipp, 2020. "On Shadow Banking and Financial Frictions in DSGE Modeling," Review of Economics, De Gruyter, vol. 71(2), pages 101-133, August.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:hal-04058856. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.