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UID:event-9405@www.amse-aixmarseille.fr
DTSTAMP:20260429T051750Z
CREATED:20260429T051750Z
LAST-MODIFIED:20260429T051750Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:Macro and labor market seminar - Tommaso Monacelli
DTSTART:20230202T113000Z
DTEND:20230202T123000Z
DESCRIPTION:We develop a non-linear\, quantitative macroeconomic model with
  heterogeneous monopolistic financial intermediaries\, incomplete markets\,
  default risk\, endogenous bank entry\, and aggregate uncertainty. The mode
 l generates a bank net worth distribution fluctuation problem analogous to 
 the canonical  Bewley-Huggett-Aiyagari-Imrohoglu environment. Our framewor
 knests Gertler and Kiyotaki (2010) (GK) and the standard Real Business Cycl
 e model as special cases. We present four general results. First\, relative
  to the GK benchmark\, banks’ balance sheet-driven recessions can be sign
 ificantly amplified\, depending on the interaction of endogenous credit mar
 gins\, the cyclicality of a precautionary lending motive and the (counter-)
  cyclicality of intermediaries’ idiosyncratic risk. Second\, equilibrium 
 responses to aggregate exogenous shocks depend explicitly on the conditiona
 l distributions of bank net worth and leverage\, which are endogenous time-
 varying objects. Aggregate shocks to banks’ balance sheets that hit a con
 centrated and fragile banking distribution cause significantly larger reces
 sions. A persistent consolidation in the U.S. banking sector that matches t
 he one observed over 1980-2020 generates a large economic contraction and a
 n increase in financial instability. Third\, we document\, and match\, nove
 l stylized facts on both the cross-section of credit margins and the cyclic
 al properties of the first three moments of the cross-sectional distributio
 ns of financial intermediary assets\, net worth\, leverage\, loan margins\,
  and default risk. We find that shocks to capital quality and to leverage c
 onstraint tightness (“financial shocks”) can match fluctuations in the 
 U.S. financial sector very well. Finally\, we use the model to identify and
  characterize episodes of systemic banking crises. Such events are associat
 ed with large economic recessions\, spikes in bank leverage\, and large dro
 ps in the number of intermediaries.\\n\\nContact: Andreas Dibiasi : andreas
 .dibiasi[at]univ-amu.frCéline Poilly : celine.poilly[at]univ-amu.fr\n\nPlu
 s d'informations: https://www.amse-aixmarseille.fr/fr/evenements/tommaso-mo
 nacelli
LOCATION:Îlot Bernard du Bois - Salle 17\, AMU - AMSE\, 5-9 boulevard Maur
 ice Bourdet\, 13001 Marseille
URL;VALUE=URI:https://www.amse-aixmarseille.fr/fr/evenements/tommaso-monacelli
CONTACT:Andreas Dibiasi : andreas.dibiasi[at]univ-amu.frCéline Poilly : ce
 line.poilly[at]univ-amu.fr
TRANSP:OPAQUE
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