| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26302 |
| 来源ID | Working Paper 26302 |
| Financial Frictions and the Wealth Distribution | |
| Jesús Fernández-Villaverde; Samuel Hurtado; Galo Nuño | |
| 发表日期 | 2019-09-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper investigates how, in a heterogeneous agents model with financial frictions, idiosyncratic individual shocks interact with exogenous aggregate shocks to generate time-varying levels of leverage and endogenous aggregate risk. To do so, we show how such a model can be efficiently computed, despite its substantial nonlinearities, using tools from machine learning. We also illustrate how the model can be structurally estimated with a likelihood function, using tools from inference with diffusions. We document, first, the strong nonlinearities created by financial frictions. Second, we report the existence of multiple stochastic steady states with properties that differ from the deterministic steady state along important dimensions. Third, we illustrate how the generalized impulse response functions of the model are highly state-dependent. In particular, we find that the recovery after a negative aggregate shock is more sluggish when the economy is more leveraged. Fourth, we prove that wealth heterogeneity matters in this economy because of the asymmetric responses of household consumption decisions to aggregate shocks. |
| 主题 | Econometrics ; Estimation Methods ; Microeconomics ; Mathematical Tools ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w26302 |
| 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/583974 |
| 推荐引用方式 GB/T 7714 | Jesús Fernández-Villaverde,Samuel Hurtado,Galo Nuño. Financial Frictions and the Wealth Distribution. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26302.pdf（5698KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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