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The Aggregate Demand for Bank Capital / Milton Harris, Christian Opp, Marcus Opp.
- Format:
- Book
- Author/Creator:
- Harris, Milton.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w27858.
- NBER working paper series no. w27858
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- We propose a novel conceptual approach to transparently characterizing credit market outcomes in economies with multi-dimensional borrower heterogeneity. Based on characterizations of securities' implicit demand for bank equity capital, we obtain closed-form expressions for the composition of credit, including a sufficient statistic for the provision of bank loans, and a novel cross-sectional asset pricing relation for securities held by regulated levered institutions. Our framework sheds light on the compositional shifts in credit prior to the 07/08 financial crisis and the European debt crisis, and can provide guidance on the allocative effects of shocks affecting both banks and the cross-sectional distribution of borrowers.
- Notes:
- Print version record
- September 2020.
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