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The Macroeconomic Effects of Shocks to Large Banks’ Capital
Authors:Jean‐Stéphane Mésonnier  Dalibor Stevanovic
Institution:1. Banque de France, Paris, France;2. UQAM, CIRANO and CIRPEE;3. ESG UQAM, Montréal, Québec, Canada
Abstract:We propose a simple approach to quantifying the macroeconomic effects of shocks to large banks’ leverage. We first estimate a standard dynamic model of leverage targeting at the bank level and use it to derive an aggregate measure of the economic capital buffer of large US bank holding corporations. We then evaluate the response of key macro variables to a shock to this aggregate bank capital buffer using standard monetary VAR models. We find that shocks to the capital of large US banks explain a substantial share of the variance of credit to firms and real activity.
Keywords:
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