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Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics
Rannenberg, Ansgar - 2012
my model to match the volatility and correlation with output of the external finance premium, bank leverage …
Persistent link: https://www.econbiz.de/10013099227
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Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics
Rannenberg, Ansgar - 2012
simulation of a bank balance sheet shock produces a downturn of a magnitude similar to the "Great Recession" … productivity shocks. It allows the model to match the volatility and correlation with output of the external finance premium, bank …
Persistent link: https://www.econbiz.de/10013108089
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Unexpected loan losses and bank capital in an estimated DSGE model of the Euro area
Hristov, Nikolay; Hülsewig, Oliver - 2016
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 …
Persistent link: https://www.econbiz.de/10011557772
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Uncertainty Shocks and the Monetary-Macroprudential Policy Mix
Nalban, Valeriu; Smadu, Andra - 2022
shock. Our results underscore the importance of timely and accurate identification of uncertainty surges, which is crucial …
Persistent link: https://www.econbiz.de/10014264707
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The Impact of Uncertainty Shocks on the Investment of Small and Large Firms : Micro Evidence and Macro Implications
Kim, Junhyong - 2021
This paper investigates how cross-sectional micro-uncertainty influences the investment of small and large firms and discusses the aggregate implications of the heterogeneity in their investment decisions. Empirically, we find that large firms show less investment decline in times of heightened...
Persistent link: https://www.econbiz.de/10013323777
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Shocks to bank lending, risk-taking, securitization, and their role for US business cycle fluctuations
Peersman, Gert; Wagner, Wolf - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization. …
Persistent link: https://www.econbiz.de/10010257361
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Aggregate uncertainty and the supply of credit
Valencia, Fabian - In: Journal of banking & finance 81 (2017), pp. 150-165
Persistent link: https://www.econbiz.de/10011816432
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization …
Persistent link: https://www.econbiz.de/10013055428
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization …
Persistent link: https://www.econbiz.de/10013058143
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Shocks to Bank Lending, Risk-Taking, Securitization, and Their Role for U.S. Business Cycle Fluctuations
Peersman, Gert - 2014
Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary … type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank … using a model of bank risk-taking and securitization …
Persistent link: https://www.econbiz.de/10013058207