کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7366933 | 1479217 | 2017 | 51 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Unexpected loan losses and bank capital in an estimated DSGE model of the euro area
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We present a stylized DSGE model in which banks face unexpected losses in their loan portfolios and are subject to capital regulation. The framework is used to explore the importance of the interaction between macroeconomic conditions, credit default and bank capitalization for the transmission of macroeconomic shocks. We fit the model to euro area data. Impulse response analysis shows that the aforementioned interaction substantially magnifies the responsiveness of the economy to demand side and monetary disturbances. The amplification is especially strong with respect to government spending shocks. The model is further capable of replicating two financial market characteristics that are documented in the 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 54, Part B, December 2017, Pages 161-186
Journal: Journal of Macroeconomics - Volume 54, Part B, December 2017, Pages 161-186
نویسندگان
Nikolay Hristov, Oliver Hülsewig,