A Quantitative Model of Banking Industry Dynamics
business cycles, and borrower default frequencies. The model is parameterized to match a set of key aggregate and cross-sectional statistics for the U.S. banking industry. As in the data, the model generates countercyclical interest rates on loans, bank failure rates, borrower default frequencies, and charge-off rates as well as a procyclical loan supply and entry rates. The model can be used to study bank competition and the benefits/costs of policies to subsidize/mitigate bank entry/exit.
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- Hubert P. Janicki & Edward S. Prescott, 2006. "Changes in the size distribution of U.S. banks: 1960-2005," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 291-316.
- Huberto M. Ennis, 2001. "On the size distribution of banks," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 1-25.
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