Replication data for: A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System

Francesco Ferrante
I develop a macroeconomic model in which banks can affect loan quality by exerting costly screening effort. Informational frictions limit the amount of external funds that banks can raise. In this framework I consider two types of financial intermediation, traditional banking and shadow banking. By pooling different loans, shadow banks achieve a higher endogenous leverage compared to traditional banks, increasing credit availability. However, shadow banks also make the financial sector more fragile, because of the...
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