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- W2897541437 abstract "This paper provides a theoretical explanation of procyclical leverage of the broker-dealer sector and examines its macroeconomic consequences within the context of the securitized banking system characterized by loan securitization and collateralized short-term borrowing. First, from a model of repo transaction, it is shown that a broker–dealer (repo borrower)'s optimal leverage is positively related to asset prices. The main mechanism underlying this relation is a movement of repo rate, which reflects counter-party risks and collateral value risks repo lenders are facing. Second, based on this result, I develop a macroeconomic model with a securitized banking system characterized by procyclical bank leverage and identify conditions under which the model exhibits a limit cycle behavior. A vulnerability of the repo market to asset price fluctuations leads to procyclical bank leverage, which aggravates asset price cycles driven by the supply-led credit expansion and collapse. It is also found that as the procyclicality of bank leverage becomes stronger the financial cycles also get more intense and severe." @default.
- W2897541437 created "2018-10-26" @default.
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- W2897541437 date "2019-06-01" @default.
- W2897541437 modified "2023-09-23" @default.
- W2897541437 title "Securitized banking, procyclical bank leverage, and financial instability" @default.
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- W2897541437 doi "https://doi.org/10.1016/j.strueco.2018.10.001" @default.
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