Procyclical Leverage and Value-at-Risk
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The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures the
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美国国家经济研究局创建时间：
2013-04-01
