Shadow Banking and the Great Recession: Evidence from an Estimated DSGE Model

Fève, Patrick, Moura, Alban and Pierrard, Olivier (2019) Shadow Banking and the Great Recession: Evidence from an Estimated DSGE Model. TSE Working Paper, n. 19-996, Toulouse

[img]
Preview
Text
Download (374kB) | Preview
Official URL: https://www.tse-fr.eu/sites/default/files/TSE/docu...

Abstract

We argue that shocks to credit supply by shadow and retail banks were key to understanding the behavior of the US economy during the Great Recession and the Slow Recovery. We base this result on an estimated DSGE model featuring a rich representation of credit flows. Our model selects the two banking shocks as the most important drivers of the crisis because they account simultaneously for the fall in real activity, the decline in credit intermediation, and the rise in lending-borrowing spreads. On the other hand, in contrast with the existing literature,our results assign only a moderate role to productivity and investment efficiency shocks.

Item Type: Monograph (Working Paper)
Language: English
Date: March 2019
Place of Publication: Toulouse
Uncontrolled Keywords: Shadow Banking, Great Recession, Slow Recovery, estimated DSGE models.
JEL codes: C32 - Time-Series Models
E32 - Business Fluctuations; Cycles
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse Capitole
Site: UT1
Date Deposited: 13 Mar 2019 08:10
Last Modified: 10 Apr 2019 06:09
OAI ID: oai:tse-fr.eu:122855
URI: http://publications.ut-capitole.fr/id/eprint/32059

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year