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model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive … correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large …
Persistent link: https://www.econbiz.de/10003933334
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy. The framework used is a dynamic stochastic general equilibrium model with banks and bank capital, in which...
Persistent link: https://www.econbiz.de/10009395395
Recent events in financial markets have underlined the importance of analyzing the link between the financial health of banks and real economic activity. This paper contributes to this analysis by constructing a dynamic general equilibrium model in which the balance sheet of banks affects the...
Persistent link: https://www.econbiz.de/10005808277
Evidence suggests that banks, like firms, face financial frictions when raising funds. The authors develop a quantitative, monetary business cycle model in which agency problems affect both the relationship between banks and firms and the relationship between banks and their depositors. As a...
Persistent link: https://www.econbiz.de/10005808336
We study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay as in Jovanovic & Ueda (1997). More constrained firms sign contracts that are less indexed to the nominal price and, as a result, their...
Persistent link: https://www.econbiz.de/10003852858
booms and increasing liquidation of housing collateral during housing busts. -- Credit and credit aggregates ; Financial …
Persistent link: https://www.econbiz.de/10003852849
policy affects risk taking by changing the amount of safe bonds that intermediaries use as collateral in the repo market. In … this model with properly-priced collateral, lower than optimal interest rates reduce risk taking. We also consider the … possibility that intermediaries can augment their collateral by issuing assets whose risk is underestimated by credit rating …
Persistent link: https://www.econbiz.de/10009399766
The authors investigate the implications of house-price bubbles for the optimal inflation-target horizon using a dynamic general-equilibrium model with credit frictions, house-price bubbles, and small open-economy features. They find that, given the distribution of shocks and inflation...
Persistent link: https://www.econbiz.de/10005673249
Since the work of Doepke and Schneider (2006a) and Meh and Terajima (2008), we know that inflation causes major redistribution of wealth - between households and the government, between nationals and foreigners, and between households within the same country. Two types of monetary policy,...
Persistent link: https://www.econbiz.de/10005673256
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...
Persistent link: https://www.econbiz.de/10005673296