ICEF Job Market Seminar by Yvan Becard (Paris School of Economics)
On Friday, February 9 at 3.10 pm, room 3211 (Shabolovka str. 26) ICEF held the Job Market Seminar.
Speaker: Yvan Becard (Paris School of Economics)
Theme: "Collateral Shocks" joint with David Gauthier
Venue: Shabolovka st., 26, room 3211
Abstract: We investigate the impact of changes in lending conditions by banks on economic fluctuations. Using US financial and macroeconomic data we estimate a dynamic stochastic general equilibrium model where a banking sector extends loans to households and businesses. We find that fluctuations in collateral requirements, or collateral shocks, are the most important force driving the business cycle. In particular, our model quantitatively reproduces the joint dynamics of output, consumption, investment, employment, and household and business debt with this unique disturbance. The estimated collateral shock turns out to track actual measures of bank lending standards and generates empirically accurate default rates and interest rate spreads for both households and businesses.