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The State-Dependent Impact of Changes in Bank Capital Requirements
Lang, Jan Hannes; Menno, Dominik - 2023
Based on a non-linear equilibrium model of the banking sector with an occasionally binding equity issuance constraint … large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector …
Persistent link: https://www.econbiz.de/10014352478
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Bank capital forbearance and serial gambling
Martynova, Natalya; Perotti, Enrico C.; Suárez, Javier - 2020
recapitalization. Supervisory forbearance emerges because political and fiscal costs undermine supervisors' commitment to intervene … decisions become strategic complements, producing equilibria with extremely high forbearance and high systemic costs …. Anticipating forbearance in response to diffuse undercapitalization, banks may ex ante choose more correlated risks, a form of …
Persistent link: https://www.econbiz.de/10012302183
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Effects of Bank Capital Requirement Tightenings on Inequality
Eickmeier, Sandra - 2019
We use a newly constructed narrative measure of regulatory bank capital requirement tightening events (Eickmeier et al., 2018) to examine their effects on household income and expenditure inequality in the US. Income and expenditure inequality both decline (the latter decline being slightly less...
Persistent link: https://www.econbiz.de/10012893253
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Climate change and the macroeconomics of bank capital regulation
Giovanardi, Francesco; Kaldorf, Matthias - 2024
This paper proposes a quantitative multi-sector DSGE model with bank failure and firm default to study the interactions between bank regulation and climate policy. Households value the liquidity of deposits, which are protected by deposit insurance. Banks collect deposits and issue equity to...
Persistent link: https://www.econbiz.de/10014556414
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Do firm credit constraints impair climate policy?
Kaldorf, Matthias; Shi, Mengjie - 2024
This paper shows that firm credit constraints impair climate policy. Empirically, firms with tighter credit constraints, measured by their distanceto-default, exhibit a relatively smaller emission reduction after a carbon tax increase. We incorporate this channel into a quantitative DSGE model...
Persistent link: https://www.econbiz.de/10014633314
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The state-dependent impact of changes in bank capital requirements
Lang, Jan Hannes; Menno, Dominik - 2023
Based on a non-linear equilibrium model of the banking sector with an occasionally binding equity issuance constraint … large: up to 10% more loans for a capital requirement release of 1pp. Compared to existing DSGE models with a banking sector …
Persistent link: https://www.econbiz.de/10014320853
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How does macroprudential regulation change bank credit supply?
Kashyap, Anil; Tsomocos, Dimitrios P.; Vardoulakis, … - National Bureau of Economic Research (NBER) - 2014
We analyze a variant of the Diamond-Dybvig (1983) model of banking in which savers can use a bank to invest in a risky …
Persistent link: https://www.econbiz.de/10010950858
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An Empirical Analysis of the Fed's Term Auction Facility
Benmelech, Efraim - National Bureau of Economic Research (NBER) - 2012
The U.S. Federal Reserve used the Term Auction Facility (TAF) to provide term funding to eligible depository institutions from December 2007 to March 2010. According to the Fed, the purpose of TAF was to inject term funds through a broader range of counterparties and against a broader range of...
Persistent link: https://www.econbiz.de/10010950874
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Collective Risk Management in a Flight to Quality Episode
Caballero, Ricardo J; Krishnamurthy, Arvind - National Bureau of Economic Research (NBER) - 2007
We present a model of optimal intervention in a flight to quality episode. The reason for intervention stems from a collective bias in agents' expectations. Agents in the model make risk management decisions with incomplete knowledge. They understand their own shocks, but are uncertain of how...
Persistent link: https://www.econbiz.de/10005085158
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Self-Fulfilling Credit Market Freezes
Bebchuk, Lucian; Goldstein, Itay - National Bureau of Economic Research (NBER) - 2010
This paper develops a model of a self-fulfilling credit market freeze and uses it to study alternative governmental responses to such a crisis. We study an economy in which operating firms are interdependent, with their success depending on the ability of other operating firms to obtain...
Persistent link: https://www.econbiz.de/10008635935