Leverage as a predictor for real activity and volatility

Kollmann, Robert; Zeugner, Stefan

doi:10.1016/j.jedc.2012.03.010

Cited by 14 publications

(5 citation statements)

References 23 publications

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“…The U.S. commercial bank capital ratio is taken as a proxy for the capital ratio of the global bank. Following Kollmann and Zeugner (), the empirical bank capital ratio measure is constructed as (total financial assets – total liabilities)/total financial assets, using Flow of Funds (FRB) data. In estimation, the loan spread and the capital ratio are demeaned; the other empirical variables are linearly detrended in log form.…”

Section: Econometric Approachmentioning

confidence: 99%

Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model

Kollmann¹

2013

J of Money Credit Banking

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Section: Econometric Approachmentioning

confidence: 99%

Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model

Kollmann¹

2013

J of Money Credit Banking

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“…Results are robust to using this measure. Kollmann and Zeugner (2012) analyze the capital ratio dynamics of different subsectors of the finance industry. 24 Using the SLOOS series 'net percentage of banks tightening lending standards' in lieu of the baseline lending spread yields very similar estimated variance shares.…”

Section: Business Loans and Lending Capacitymentioning

confidence: 99%

Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model

Kollmann¹

2012

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This paper estimates a two-country model with a global bank, using US and Euro Area (EA) data, and Bayesian methods. The estimated model matches key US and EA business cycle statistics. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for US real activity. During the Great Recession (2007-09), banking shocks accounted for about 20% of the fall in US and EA GDP, and for more than half of the fall in EA investment and employment. JEL codes: F36, F37, E44, G21* Robert Kollmann, ECARES, CP 114, Université Libre de Bruxelles; 50 Av. Franklin Roosevelt, B-1050 Brussels, Belgium. 32-2-650-4474. robert_kollmann@yahoo.com. Matthias Paustian contributed to this project in its early stages--I thank him for his advice and for computer code. I also thank Werner Roeger for many discussions. Helpful comments and suggestions were also received from Gernot Müller, Alan Sutherland, Christoph Thoenissen, Ken West, Egon Zakrajšek and participants at several workshops.

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“…Indeed, Adrian and Shin (2010a) also document that BD asset growth is positively associated with leverage growth. This and further evidence (see also Geanakoplos, 2010;Kollmann and Zeugner, 2011) suggest the existence of a two-way feedback from asset prices growth to leverage, leading to boombust cycles, persistence in asset valuations and in their rate of growth, and the potential disconnect of their dynamics from economic fundamentals. Of course, the effects of monetary policies critically depend on all these features, which further motivates our use of data on from brokers-dealers balance sheets.…”

Section: Literaturementioning

confidence: 82%

Funding Conditions, Asset Prices, and Macroeconomic Dynamics: Some U.S. Evidence

Trecroci

Vassalli

2011

SSRN Journal

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Leverage as a predictor for real activity and volatility

Cited by 14 publications

References 23 publications

Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model

Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model

Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model

Funding Conditions, Asset Prices, and Macroeconomic Dynamics: Some U.S. Evidence

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