全球智库信息集成服务系统(G2TT): Leverage

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w22905
来源ID	Working Paper 22905
	Leverage
	Tano Santos; Pietro Veronesi
发表日期	2016-12-12
出版年	2016
语种	英语
摘要	Many stylized facts of leverage, trading, and asset prices obtain in a frictionless general equilibrium model that features agents’ heterogeneity in endowments and time- varying risk preferences. Our model predicts that aggregate debt increases in expansions when asset prices are high, volatility is low, and levered households enjoy a “consumption boom.” Our model is consistent with poorer households borrowing more and with intermediaries’ leverage being a priced factor. In crises, levered households strongly delever by “fire selling” their risky assets as asset prices drop. Yet, as empirically observed, their debt-to-wealth ratios increase as higher discount rates make their wealth decline faster.
主题	Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w22905
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/580579
推荐引用方式 GB/T 7714	Tano Santos,Pietro Veronesi. Leverage. 2016.