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This paper analyzes the effects of several policy instruments to mitigate financial bubbles generated in the banking sector. We augment a New Keynesian macroeconomic framework by endogenizing boundedly-rational expectations on asset values of loan portfolios and allow for interbank trading. We...
Persistent link: https://www.econbiz.de/10011952012
question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential …
Persistent link: https://www.econbiz.de/10012064522
We introduce a model of the banking sector that formally incorporate a buffer function of capital. Heterogeneous banks choose their portfolio risk, bank size, and capital holdings. Banks voluntarily hold equity when the buffer effect against the risk of default outweighs the cost advantages of...
Persistent link: https://www.econbiz.de/10012797734
provides some new evidence on the drivers of the great moderation and analyses the banking sector's pro-cyclicality by using …
Persistent link: https://www.econbiz.de/10009540104
conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area … empirical literature, i.e. the pro-cyclicality of bank profitability and the counter-cyclical response of firm default rates and … credit spreads to monetary policy shocks. …
Persistent link: https://www.econbiz.de/10011557772
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a...
Persistent link: https://www.econbiz.de/10010257361
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 …
Persistent link: https://www.econbiz.de/10010503469
Persistent link: https://www.econbiz.de/10012546900
We introduce a banking sector and heterogeneous agents in the Matsuyama et al. (2016) dynamic over-lapping generations neoclassical model with good and bad projects. The model captures the benefits and costs of an advanced banking system which can facilitate economic development when allocates...
Persistent link: https://www.econbiz.de/10013465706
outside the production process as a financial capital or credit as per the classical Ricardian wage fund framework. Stock of … credit or financial capital as past savings, finances employment and machines or capital goods used in the process of … much more than before. Introducing finance affects trade patterns with unemployment and especially with imperfect credit …
Persistent link: https://www.econbiz.de/10013173767