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The primary driver of commercial bank failures during the Great Recession was exposure to the real estate sector, not aggregate funding strains. The main "toxic" exposure was credit to non-household real estate borrowers, not traditional home mortgages or agency-issued MBS. Private-label MBS...
Persistent link: https://www.econbiz.de/10015298896
We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending....
Persistent link: https://www.econbiz.de/10015298365
I study economies where banks do not fully internalize the social costs of default, which distorts their lending decisions. In all these economies, a common general equilibrium effect leads to aggregate over-investment. As a result, under laissez-faire, crises are too frequent and too costly...
Persistent link: https://www.econbiz.de/10015298452
This paper assesses the trends of some main macroeconomic and macro-financial variables across different time horizons related to systemic banking crises. Specifically, by gradually shifting the observation horizon of the same statistical model across time, it observes how these variables are...
Persistent link: https://www.econbiz.de/10015298731
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We propose a novel framework to identify distressed households by taking account of both the solvency and the liquidity situation of an individual household. Using the data from the Household Finance and Consumption Survey and the country‐level data on non‐performing loans we calibrate our...
Persistent link: https://www.econbiz.de/10015301804
This paper links granular data of financial institutions to global macroeconomic variables using an infinite-dimensional vector autoregressive (IVAR) model framework. The approach taken allows for an assessment of the two-way links between the financial system and the macroeconomy, while...
Persistent link: https://www.econbiz.de/10015301903
This paper studies a banking model of maturity transformation in which regulatory arbitrage induces the coexistence of regulated commercial banks and unregulated shadow banks. We derive three main results: First, the relative size of the shadow banking sector determines the stability of the...
Persistent link: https://www.econbiz.de/10015301914