کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088500 | 1478314 | 2015 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Loan Loss Provisioning Rules, Procyclicality, and Financial Volatility
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Loan Loss Provisioning Rules, Procyclicality, and Financial Volatility Loan Loss Provisioning Rules, Procyclicality, and Financial Volatility](/preview/png/5088500.png)
چکیده انگلیسی
Interactions between loan-loss provisioning regimes and business cycle fluctuations are studied in a dynamic stochastic general equilibrium model with credit market imperfections. With a specific provisioning system, provisions are triggered by past due payments. With a dynamic system, both past due payments and expected losses over the whole business cycle are accounted for, and provisions are smoothed over the cycle. Numerical experiments with a parameterized version of the model show that a dynamic provisioning regime can be highly effective in mitigating procyclicality of the financial system. The results also indicate that the combination of a credit gap-augmented Taylor rule and a dynamic provisioning system with full smoothing may be the most effective way to mitigate real and financial volatility associated with financial shocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 61, December 2015, Pages 301-315
Journal: Journal of Banking & Finance - Volume 61, December 2015, Pages 301-315
نویسندگان
Pierre-Richard Agénor, Roy Zilberman,