The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Uncertainty Shocks and Balance Sheet Recessions
Abstract
This paper investigates the origin and propagation of balance sheet recessions. I first show that in standard models driven by TFP shocks, the balance sheet channel disappears when agents can write contracts on the aggregate state of the economy. Optimal contracts sever the link between leverage and aggregate risk sharing, eliminating the concentration of aggregate risk that drives balance sheet recessions. I then show that uncertainty shocks can help explain this concentration of aggregate risk and drive balance sheet recessions, even with contracts on aggregate shocks. The mechanism is quantitatively important, and I explore implications for financial regulation.
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Citations
Cites
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Cited by
Monetary Policy and the Redistribution Channel
Auclert, A. (2019) · American Economic Review · doi:10.1257/aer.20160137 · Cited by 773
Metadata
- Authors
- Di Tella, S.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2017-12
- Volume
- 125
- Issue
- 6
- Pages
- 2038-2081
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W2744405877
- Cited by
- 158
- References
- 2
- FWCI
- 24.90
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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