Abstract This paper assesses the interaction between the housing and credit markets and shadow banks, with the possibility of bank runs. The findings illustrate how a negative TFP shock is amplified by macro-financial and macro-housing channels through household balance sheets, bank balance sheets, and liquidity channels. If the shock renders the shadow banking system insolvent, two equilibria coexist: the no-run equilibrium and the run equilibrium. In this instance, run is a sunspot coordination failure; if households receive a negative signal from fundamentals and stop rolling over deposits to the financial sector, banks are not able to fund their losses with new deposits. So they are forced to liquidate their assets at an endogenous fire sale price. The main finding of this paper is that the model with housing provides a comprehensive account of the consequences of economic crises, namely the house price double-dip, the output downward spiral, and the lengthy recovery period. To eliminate the bank-run equilibrium, this paper proposes macroprudential policy tools in the form of capital adequacy buffers and loan-to-value ratios. Then a welfare analysis is applied to determine the optimal policy mix.

中文翻译：

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影子银行的运转，住房和信贷市场：经济衰退的故事

摘要本文评估了住房与信贷市场以及影子银行之间的相互作用，以及银行挤兑的可能性。研究结果表明，宏观金融和宏观住房渠道如何通过家庭资产负债表，银行资产负债表和流动性渠道扩大负面的全要素生产率冲击。如果冲击使影子银行系统破产，那么两个均衡将并存：无运行均衡和运行均衡。在这种情况下，运行是黑子协调失败；如果家庭收到来自基本面的负面信号并停止将存款结转至金融部门，则银行将无法用新的存款来弥补损失。因此，他们被迫以内生的火价出售其资产。本文的主要发现是，带有住房的模型能够全面说明经济危机的后果，即房价双底下跌，产出下降螺旋式和漫长的恢复期。为了消除银行经营的均衡，本文提出了以资本充足缓冲和贷款对价值比率为形式的宏观审慎政策工具。然后，应用福利分析来确定最佳的政策组合。