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Commodity prices, bank balance sheets and macroprudential policies in small open economies

Villca, Alfredo - In: Latin American journal of central banking : LAJCB 3 (2022) 1, pp. 1-27

How important are liability dollarization in the transmission of commodity shocks on business cycles? To address this question, we developed a small open economy DSGE model with a banking sector and financial friction. The banks collect funds in the international capital markets in the form of...

Persistent link: https://www.econbiz.de/10013198126

Untangling crises : GFC and COVID-19 through the lens of a DSGE model

Peña, Rogelio De la; García, Ignacio - In: Latin American journal of central banking : LAJCB 4 (2023) 2, pp. 1-29

In this paper, we aim to compare the anatomy of the impact of the COVID-19 outbreak and the Great Financial Crisis (GFC) in the context of an emerging market economy. To this end, we develop a small open economy DSGE model with the Bernanke-Gertler-Gilchrist financial accelerator that features...

Persistent link: https://www.econbiz.de/10014382934

Long-term bank lending and the transfer of aggregate risk

Reiter, Michael; Zessner-Spitzenberg, Leopold - 2020

Long-term debt contracts transfer aggregate risk from borrowing firms to lending banks. When aggregate shocks increase the future default probability of firms, banks are not compensated for the default risk of existing contracts. If banks are highly leveraged, this can lead to financial...

Persistent link: https://www.econbiz.de/10012195169

External shocks and FX intervention policy in emerging economies

Carrasco, Alex; Florián Hoyle, David - 2021

intervention policy successfully reduces credit, investment, and output volatility, along with substantial welfare gains when …

Persistent link: https://www.econbiz.de/10012616248

Regime-dependent effects of uncertainty shocks : a structural interpretation

Lhuissier, Stéphane; Tripier, Fabien - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1139-1170

results point to worsening credit-market conditions that amplify shocks during distress periods. Finally, we show that the …

Persistent link: https://www.econbiz.de/10012795652

Macro-financial volatility under dispersed information

Miao, Jianjun; Wu, Jieran; Young, Eric R. - In: Theoretical economics : TE ; an open access journal in … 16 (2021) 1, pp. 275-315

We provide a production-based asset pricing model with dispersed information and small deviations from full rational expectations. In the model, aggregate output and equity prices depend on the higher-order beliefs about aggregate demand and individual stochastic discount factors. We prove that...

Persistent link: https://www.econbiz.de/10012415651

Housing bubble scars

Aastveit, Knut Are; Anundsen, André Kallåk; Kivedal, … - 2024

probability of a housing bubble increases when housing supply is inelastic and when access to credit is easy. We differentiate …

Persistent link: https://www.econbiz.de/10015141915

Money, credit, house prices and quantitative easing: the wavelet perspective from 1970 to 2016

Ryczkowski, Maciej - In: Journal of business economics and management 20 (2019) 3, pp. 546-572

This paper investigates the relationship between money/credit growth and house price inflation for a sample of twelve … broad money and bank credit was leading house price inflation for the 2-8 years cycle. In contrast to this, the Bank of … two central banks were not capable to significantly increase house prices by extending money/credit during the business …

Persistent link: https://www.econbiz.de/10012175761

Semi-structural VAR and unobserved components models to estimate finance-neutral output gap

Kátay, Gábor; Kerdelhué, Lisa; Lequien, Matthieu - 2020

The paper assesses the impact of adding information on financial cycles on the output gap estimates for eight advanced economies using two unobserved components models: a reduced form extended Hodrick-Prescott filter, and a standard semi-structural unobserved components model. To complement...

Persistent link: https://www.econbiz.de/10012320331

On recessive and expansionary impact of financial development : empirical evidence

Nguena, Christian Lambert; Kodila-Tedika, Oasis - In: European journal of comparative economics 20 (2023) 1, pp. 97-130

We investigate the effects of financial development on recession while controlling for potential recession factors using data of about 129 countries covering the 1990-2010 period. To the best of our knowledge, this is the first study examining this relationship using a plural and innovative...

Persistent link: https://www.econbiz.de/10014318636