From Micro Generator Shifts to Macrofinancial Stability Counterfactual Aggregation, Credit Bridging, and Crisis Tail Risk

Macroeconomic and financial crises are triggered by diverse shocks, yet their structure is strikingly repetitive: leverage drifts upward in expansions, fragility accumulates, and adverse shocks are amplified into systemic left-tail events. Existing frameworks explain amplification once fragility is present. This paper asks a logically prior question: what upstream structural condition governs how frequently economies enter amplification-prone regimes? We argue that crisis vulnerability is conditioned by the absorption structure of capitalized growth. In capitalized economies, growth is embedded not only in contemporaneous income flows but in asset valuations. We define the broad uptake share of capitalized growth claims, θ, as the fraction absorbed by high–marginal-propensity-to-consume sectors. When θ is low, capitalized gains concentrate among low-MPC holders, weakening effective demand absorption and inducing persistent reliance on credit bridging—credit expansion and asset-price support to sustain intertemporal clearing. Over time, this structural reliance fuels leverage drift and thickens crisis tails. Identifying the macro effects of θ presents a fundamental endogeneity challenge. We implement a recomputable micro-to-macro aggregation design: a pre-specified institutional quasi-experiment generates an exogenous shift in a micro analogue of θ, and country–time exposure shares aggregate this shift into a shift-share instrument that identifies the causal impact of θ in a two-stage framework. We estimate how θ affects credit reliance, shock amplification, and crisis tail probability. We summarize macro stability implications using two sufficient statistics linking θ to credit intensity and crisis risk, and we map feasible generator shifts into scale–risk trade-offs under conservative general-equilibrium attenuation bounds with joint uncertainty propagation. By introducing an upstream absorption-structure state variable and providing disciplined causal evidence, the paper reframes crisis vulnerability as a structural participation problem embedded in modern capitalized economies.