P aper No. 907 Banks, shadow banks, and business c

CData

OurmacroeconomicdatacomesfromEurostat,theEuropeanComission,andCepremap, aresearchcenterinFrance.OurfinancialdataisprovidedbytheEuropeanCentral Bank.Table3listsallthevariables.

Table3:DataDescription

RawSeries Code Source

Grossdomesticproduct gdp Eurostat
Grossdomesticproduct:pricedeflator gdpdefEurostat
Consumptionexcludingdurablegoods cnd Eurostat
Consumptionofdurablegoods cd Eurostat
Grosscapitalformation gcf Eurostat
Totalhoursworked hoursEurostat
Population pop Eurostat
Three-monthmoneymarketinterestratenom Eurostat
Credittohouseholds ch EuropeanCentralBank
Credittonon-financialcorporations cnfc EuropeanCentralBank
Interestrateonloansforhousepurchase irlh EuropeanCentralBank
Interestrateonloanstocorporations irlc EuropeanCentralBank
Residentialpropertyprices hp EuropeanCentralBank

Grosscapitalformation:pricedeflator gcfdefEurostat

ShareoflaborcompensationinGDP ls EuropeanCommission
Effectiveconsumptiontaxrate taucCepremap
Effectivelaborincometaxrate taulCepremap
Effectivecorporateincometax taukCepremap

ConstructedSeries Formula

GDP y=gdp/(gdpdef×pop)
Consumption c=cnd/(gdpdef×pop)
Investment i=(cd+gcf)/(gdpdef×pop) Hoursworked l=hours/pop
Inflation π=ln(gdpdef)−ln(gdpdef₋₁) Nominalinterestrate r=nom/4
Householdcredit bⁱ=ch/(gdpdef×pop)
Firmcredit b^e=cnfc/(gdpdef×pop)
Householdspread sⁱ=(irlh−nom)/4
Firmspread s^e=(irlc−nom)/4
Houseprice q^h=hp/gdpef
Consumptionincludesservicesandnondurablegoods.Investmentisdefinedas grosscapitalformationplusdurablegoods.WeexpressGDP,consumption,investment, andthetwocreditseriesinreal,percapitatermsandtakethelogarithmicfirstdifference. Hoursareinpercapitalogdifference.Wemeasureinflation,thenominalrate,andthe twocreditspreadsinlevel.Housepricesareinrealtermsandlogdifference.We demeanallvariablestopreventlow-frequencymovementsfrominterferingwiththe higherbusiness-cyclefrequenciesthatinterestus.

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Table4:Parameters

CalibratedParameters Target/Source Value Capitalshareinproduction α Samplemean 0.3687 GovernmentspendingtoGDP η_g Samplemean 0.2384 Inflation,annual% π Samplemean 1.4986 PercapitaGDPgrowth,annual%µ_z^∗ Samplemean 1.0144 Investmentpricetrend,annual%Υ Samplemean 0.7822 Taxrateonconsumption τ^c Samplemean 0.1934 Taxrateonlaborincome τ^l Samplemean 0.1184 Taxrateoncapitalincome τ^k Samplemean 0.3318 Patientdiscountfactor β^p R=1.87% 0.9998 Impatientdiscountfactor βⁱ βⁱ<β^p 0.9700 Depreciationrateofcapital δ 10%annual 0.0250 Laborsupplyelasticity σ_l Literature 1.0000 Pricemarkup λ_p Literature 1.2000 Wagemarkup λ_w Literature 1.0500 Disutilityweightonlabor ψ_l Hoursl=1 0.9576

EstimatedParameters Prior(Mean,Std) Mode StandardDev. Taylorruleouput a_Δy N(0.5,0.05) 0.3080 0.3817 Taylorruleinflation a_π N(1.5,0.2) 2.1859 0.3631 Taylorrulesmoothing ρ_p B(0.75,0.1) 0.6633 0.3257 Calvopricestickiness ξ_p B(0.75,0.15) 0.8270 0.0210 Calvowagestickiness ξ_w B(0.75,0.15) 0.7682 0.0263 Priceindexationoninflation ι_p B(0.75,0.1) 0.9349 0.1621 Wageindexationoninflation ι_w B(0.75,0.1) 0.8195 0.2034 Patientconsumptionhabit b_c^p B(0.6,0.1) 0.8190 0.0646 Impatientconsumptionhabit bⁱ_c B(0.6,0.1) 0.7534 0.0520 Capitalutilizationcost σ_a N(1,0.25) 1.4372 0.2851 Investmentadjustmentcost S^k′′ N(2,0.5) 2.4513 0.6770 Housingadjustmentcost S^h′′ N(2,20) 52.2894 10.6362 Shareofpatientintotallabor κ B(0.5,0.1) 0.7450 0.1603 Impatientdefaultprobability Fⁱ(ω¯ⁱ) B(0.007,0.003) 0.0136 0.0046 EntrepreneurdefaultprobabilityF^e(ω¯^e)B(0.007,0.003) 0.0078 0.0015 Entrepreneurleverage L^e N(2.1,0.2) 1.5740 0.4425 Markupinsecuritizedhousing µ^h B(0.4,0.15) 0.1918 0.0716 Markupinsecuritizedcapital µ^k B(0.4,0.15) 0.2219 0.1467

Bankshock ρ_ν,σ_ν B(.5,.2),G(.01,2)0.939,0.0730.041,0.0298 Stationarytechnologyshock ρ_ε,σ_ε B(.5,.2),G(.01,2)0.928,0.0030.042,0.0003 Permanenttechnologyshock ρ_µz∗,σ_µz∗B(.5,.2),G(.01,2)0.855,0.0020.112,0.0014 Stationaryinvestmentshock ρ_ζI,σ_ζIB(.5,.2),G(.01,2)0.311,0.0150.232,0.0034 Permanentinvestmentshock ρ_µΥ,σ_µΥB(.5,.2),G(.01,2)0.925,0.0070.047,0.0023 Preferenceshock ρ_ζc,σ_ζcB(.5,.2),G(.01,2)0.394,0.0140.516,0.0061 Housingshock ρ_ζh,σ_ζhB(.5,.2),G(.01,2)0.812,0.0020.070,0.0004 Markupshock ρ_λp,σ_λpB(.5,.2),G(.01,2)0.042,0.0670.150,0.0275 Firmequityshock ρ_γ^e,σ_γ^eB(.5,.2),G(.01,2)0.435,0.0030.518,0.0020 Firmriskshock ρ_σ^e,σ_σ^eB(.5,.2),G(.01,2)0.952,0.0050.048,0.0097 Governmentspendingshock ρ_g,σ_g B(.5,.2),G(.01,2)0.896,0.0120.058,0.0013 Monetarypolicyshock σ_ε^p G(.01,2) 0.0004 0.0007

Note:N,B,andGstandfornormal,beta,andinversegammadistribution,respectively.

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