We explore the structural drivers of bank and nonbank credit cycles using an estimated medium-scale macro model that … potentially drive bank and nonbank credit growth. We find that sectoral shocks affecting the balance sheets of entrepreneurs who … borrow from the financial sector are important for the business cycle frequency fluctuations in bank and nonbank credit …

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 …

This paper proposes a new Dynamic Stochastic General Equilibrium (DSGE) model with credit frictions and a banking … sector, which endogenizes loan-to-value (LTV) ratios of households and banks by expressing them as a function of systemic and … targeted leverage ratio, in which assets are risk-weighted by risk-sensitivity measures. The results highlighted in this paper …