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Inequality, Leverage and Crises.

Author: Michael Kumhof; Romain Ranciere; Pablo Winant
Publisher: Washington : International Monetary Fund, 2013.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The paper studies how high household leverage and crises can arise as a result of changes in the income distribution. Empirically, the periods 1920-1929 and 1983-2008 both exhibited a large increase in the income share of high-income households, a large increase in debtleverage of the remainder, and an eventual financial and real crisis. The paper presents a theoretical model where higher leverage and crises arise  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Kumhof, Michael.
Inequality, Leverage and Crises: The Case of Endogenous Default.
Washington : International Monetary Fund, ©2013
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michael Kumhof; Romain Ranciere; Pablo Winant
ISBN: 9781484311202 1484311205
OCLC Number: 869095057
Description: 1 online resource (49 pages).
Contents: Cover; Contents; I. Introduction; II. Relation to the Literature; III. Stylized Facts; A. Income Inequality and Aggregate Household Debt; B. Debt by Income Group; C. Wealth by Income Group; D. Size of the Financial Sector; E. Leverage and Crisis Probability; F. Household Defaults During Crises; G. Additional Stylized Facts for the Great Recession; G.1 Income Mobility and Inequality Persistence; G.2 Alternative Debt Ratios; IV. The Model; A. Top Earners; B. Bottom Earners; C. Endogenous Default; D. Equilibrium; E. Analytical Results; E.1 Debt Supply and Debt Demand. E.2 Response of Steady State Debt to Steady State IncomeF. Calibration; G. Solution Method; V. Results; A. Default Regions; B. Impulse Responses; C. Baseline Scenario; D. Sensitivity Analysis; E. Pure Consumption Smoothing and Shock Persistence; F. Counterfactual Experiment: Reduction in Income Inequality; VI. Conclusions; References; Tables; 1. Calibration of the Baseline Model; Figures; 1. Income Inequality and Household Leverage; 2. Debt-to-Income Ratios by Income Group; 3. Wealth Inequality; 4. Size of the Financial Sector (Value Added/GDP). 5. Leverage and Crisis Probability (Schularick and Taylor (2012)6. Debt to Net Worth Ratios by Income Group; 7. Unsecured Debt-to-Income Ratios by Income Group; 8. Equilibrium Debt; 9. Default Regions; 10. Impulse Response --
Output Shock; 11. Impulse Response --
Income Distribution Shock; 12. Impulse Response --
Crisis; 13. Baseline Scenario; 14. Sensitivity Analysis; 15. Consumption Smoothing Scenario; 16. Inequality and Leverage 1936-1944; 17. Reduction in Income Inequality over 10 Years.
Series Title: IMF Working Papers.

Abstract:

The paper studies how high household leverage and crises can arise as a result of changes in the income distribution. Empirically, the periods 1920-1929 and 1983-2008 both exhibited a large increase in the income share of high-income households, a large increase in debtleverage of the remainder, and an eventual financial and real crisis. The paper presents a theoretical model where higher leverage and crises arise endogenously in response to a growing income share of high-income households. The model matches the profiles of theincome distribution, the debt-to-income ratio and crisis risk for t.

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