conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area …We develop a stylized DSGE model in which banks face capital regulation and their loan portfolios are subject to non … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and …

In U.S. data 1981-2012, unsecured firm credit moves procyclically and tends to lead GDP, while secured firm credit is … acyclical; similarly, shocks to unsecured firm credit explain a far larger fraction of output fluctuations than shocks to … secured credit. In this paper we develop a tractable dynamic general equilibrium model in which unsecured firm credit arises …

question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …

. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in … various credit spread indicators considered in the macro-finance literature. The decline in the credit spread indicators is … associated with a robust improvement in credit supply indicators, along with a broad based expansion in economic activity. Second …

This paper uses data from a panel of more than 400 Italian banks for the period 2001 - 2012 to examine the main …, signalling) or non-discretionary (related to the business cycle). The results suggest that LLP in Italian banks is driven mainly … local banks: since their loans are more collateralised, their behaviour is more strongly affected by supervisory activity …

type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank …Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … using a model of bank risk-taking and securitization. …

the period 2003Q1–2019Q4 with a special emphasis on credit conditions. With the help of this model, monetary policy … determining the relative weight of these states over time. We show that shocks to the credit spread and shocks to credit standards … directly lead to a reduction of real GDP growth, whereas shocks to the quantity of credit are less important in explaining …

Small businesses (SMEs) depend on banks for credit. We show that the severity of the Eurozone crisis was worse in … countries where firms borrowed more from domestic banks ("domestic bank dependence") than in countries where firms borrowed more … from international banks. Eurozone banking integration in the years 2000-2008 mainly involved cross-border lending between …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …