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DSGE Models and the Lucas critique
Hurtado, Samuel - Banco de España - 2013
Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so … issues also cause parameter instability after policy changes in DSGE models. This paper will look at the implications of … parameter shifts for econometric policy evaluation, to see whether policy advice derived from DSGE models would have differed …
Persistent link: https://www.econbiz.de/10010862249
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Mitigating the pro-cyclicality of Basel II
Repullo, Rafael; Saurina, Jesús; Trucharte, Carlos - Banco de España - 2010
Policy discussions on the recent financial crisis feature widespread calls to address the pro-cyclical effects of regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle fluctuations. This paper compares the leading alternative...
Persistent link: https://www.econbiz.de/10008676007
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Credit supply: identifying balance-sheet channels with loan applications and granted loans
Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; … - Banco de España - 2010
To identify credit availability we analyze the extensive and intensive margins of lending with loan applications and all loans granted in Spain. We find that during the period analyzed both worse economic and tighter monetary conditions reduce loan granting, especially to firms or from banks...
Persistent link: https://www.econbiz.de/10008676892
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Micro-based estimates of heterogeneous pricing rules: the united states vs. The euro area
Álvarez, Luis J.; Burriel, Pablo - Banco de España - 2010
micro based pricing rules into a DSGE model, we f nd that nominal shocks have a greater real impact in the fully …
Persistent link: https://www.econbiz.de/10008495180
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The distribution of debt across euro area countries: the role of individual characteristics, institutions and credit conditions
Bover, Olympia; Casado, Jose Maria; Villanueva, Ernesto; … - Banco de España - 2013
The aim of this paper is twofold. First, we present an up-to-date assessment of the differences across euro area countries in the distributions of various measures of debt conditional on household characteristics. We consider three different outcomes: the probability of holding debt, the amount...
Persistent link: https://www.econbiz.de/10010862266
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The effect of foreclosure regulation: Evidence for the US mortgage market at state level
Vicente, Fernando López - Banco de España - 2013
Do laws to protect borrowers curb foreclosures? This question is addressed by analysing the impact of foreclosure laws on default rates at state level in the US mortgage market. Using panel data techniques, we find a statistically significant effect of regulation on the different stages of the...
Persistent link: https://www.econbiz.de/10010862277
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Financial governance of banking supervision
Masciandaro, Donato; Nieto, María J.; Prast, Henriëtte - Banco de España - 2007
This article analyses the economics of financing banking supervision and attempts to respond to two questions: What are the most common financing practices? Can the differences in current financing practices be explained by country specific factors? We perform an empirical analysis that...
Persistent link: https://www.econbiz.de/10005022297
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Local versus aggregate lending channels: the effects of securitization on corporate credit supply
Jiménez, Gabriel; Mian, Atif; Peydró, José-Luis; … - Banco de España - 2011
While banks may change their credit supply due to bank balance-sheet shocks (the local lending channel), firms can react by adjusting their sources of financing in equilibrium (the aggregate lending channel). We provide a methodology to identify the aggregate (firm-level) effects of the lending...
Persistent link: https://www.econbiz.de/10009319591
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Cross-border coordination of prudential supervision And deposit guarantees
Hardy, Daniel C.; Nieto, María J. - Banco de España - 2011
We study the optimal joint design of prudential supervision and deposit guarantee regulations in a multi-country, integrated banking market, where policy-makers have preferences regarding profitability and stability of the banking sector. Non-coordinated policies will tend to yield too little...
Persistent link: https://www.econbiz.de/10009320239
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Assessing the risk-return trade-off in loans portfolios
Mencía, Javier - Banco de España - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10004969766