(Downloads - 0)
For more info about our services contact : help@bestpfe.com
Table of contents
1 Introduction
2 Firms, Financial Networks, Aggregate Fluctuations
2.1 Introduction
2.2 The Model
2.2.1 Household
2.2.2 Firms
2.2.3 Banks
2.2.4 Equilibrium
2.3 The Financial Network Multiplier
2.4 Estimation
2.4.1 Data
2.4.1.1 Firms
2.4.1.2 Banks
2.4.2 Empirical Strategy
2.4.2.1 Substitution and Factor Elasticities
2.4.2.2 Productivity Shocks
2.4.2.3 Banks’ Structural Parameters
2.5 Equilibrium Results
2.5.1 Financial Spill-Overs
2.5.2 Importance of the Financial Network
2.5.3 Which firms are most influential?
2.6 Conclusion
3 Endogenous Financial Networks
3.1 Introduction
3.2 The Financial Network
3.2.1 Balance-Sheet Diversification and Size
3.2.2 Market Equilibrium with Trade Costs
3.2.3 Shock Propagation Through the Financial Network
3.2.4 Network Structure: Amplification or Mitigation
3.2.5 Measuring the Systemicness of Institutions
3.3 Structural Estimation
3.3.1 Parameterization: Demand, Trade Costs, Beliefs
3.3.2 Model Identification: Intuitions
3.3.3 From Return Beliefs to Net-Demands: A Dynamic Factor Model
3.3.4 From Net-Demands to Return Beliefs: Identification
3.3.5 Estimation Procedure
3.4 Data
3.5 Structural Parameters
3.5.1 Return Beliefs
3.5.2 Risk-aversion
3.5.3 Trade costs
3.6 The Network in General Equilibrium
3.6.1 Network Structure
3.6.2 Structural Policy Evaluation: the case of ECB Quantitative Easing
3.7 Conclusion
4 Domestic and External Sectoral Portfolios
4.1 Introduction
4.2 Data Description
4.3 Domestic and External Sectoral Portfolios
4.3.1 Constructing Sectoral Portfolios
4.3.2 Stylized Facts on French Domestic and External Sectoral Portfolios
4.3.2.1 External Portfolios
4.3.2.2 External Cross Sectoral Portfolios
4.3.2.3 Domestic versus Foreign Portfolios
4.3.3 The Network Structure of Domestic and External Portfolios
4.4 An Estimated Model of Sectoral Balance-Sheet Contagion
4.4.1 The Model
4.4.1.1 Asset Demand and Supply
4.4.1.2 Sectoral Balance-Sheet Equilibrium
4.4.1.3 Balance-Sheet Contagion
4.4.2 Identification and Estimation
4.4.2.1 Moment Conditions
4.4.2.2 Two-Step GMM
4.4.3 Results
4.5 Conclusion
Bibliography
A Appendix of Chapter 2
A.1 Figures and Tables
A.2 Proofs
A.2.1 Lemma 2.1: Firms’ Marginal Costs
A.2.2 Lemma 2.2: Within-Sector Sales Distribution
A.2.3 Lemma 2.3: Firms’ Debt Supply
A.2.4 Lemma 2.4: Leverage Targeting
A.2.5 Proposition 2.1: Aggregate Output
A.2.6 Proposition 2.3: Financial Multiplier
B Appendix of Chapter 3
B.1 Figures & Tables
B.2 Theory
B.2.1 Proofs: General Equilibrium Model
B.2.2 Proofs of Identification
B.3 Data
B.3.1 Estimation of Returns
B.3.2 Imputation of the Real Asset
C Appendix of Chapter 4
C.1 Figures
C.2 Tables
