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The Business Cycle Implications of Banks' Maturity Transformation

Andreasen, Martin M. - 2012

This paper develops a DSGE model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. Within an RBC framework, we show that...

Persistent link: https://www.econbiz.de/10013099027

Flight to Liquidity and the Great Recession

Radde, Sören - 2014

This paper argues that counter-cyclical liquidity hoarding by financial intermediaries may strongly amplify business cycles. It develops a dynamic stochastic general equilibrium model in which banks operate subject to agency problems and funding liquidity risk in their inter- mediation activity....

Persistent link: https://www.econbiz.de/10013048760

Rational Inattention and the Business Cycle Effects of Productivity and News Shocks

Maćkowiak, Bartosz; Wiederholt, Mirko - 2023

news about future productivity. By contrast, the baseline RBC model produces neither persistent growth rates nor business …

Persistent link: https://www.econbiz.de/10014353582

Endogenous TFP, Business Cycle Persistence and the Productivity Slowdown in the Euro Area

Spitzer, Martin - 2020

This paper analyses the endogeneity of euro area total factor productivity and its role in business cycle amplification … by estimating a medium-scale DSGE model with endogenous productivity mechanism on euro area data. In this framework …, total factor productivity evolves endogenously as a consequence of costly investment in R&D and adoption of new technologies …

Persistent link: https://www.econbiz.de/10012834776

Asset Pricing and the Propagation of Financial Shocks

Jaccard, Ivan - 2018

This study augments the neoclassical growth model with a mechanism that creates a novel transmission channel through which financial shocks propagate to the real economy. By affecting agents' ability to finance consumption expenditures, financial frictions create a demand for safe assets that...

Persistent link: https://www.econbiz.de/10012918412

Countercyclical Capital Regulation in a Small Open Economy DSGE Model

Lozej, Matija - 2018

We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations...

Persistent link: https://www.econbiz.de/10012921203

Asymmetric Information in Credit Markets, Bank Leverage Cycles and Macroeconomic Dynamics

Rannenberg, Ansgar - 2012

the response of the external finance premium and the overall economy to monetary policy and productivity shocks. It allows …

Persistent link: https://www.econbiz.de/10013099227

Unobserved Components Model(s) : Output Gaps and Financial Cycles

Guillochon, Justine; Le Roux, Julien - 2023

The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and...

Persistent link: https://www.econbiz.de/10014353253

Leveraged Property Cycles

Jaccard, Ivan - 2021

This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary externality generates large reductions in the...

Persistent link: https://www.econbiz.de/10013231956

Determinants of the Credit Cycle : A Flow Analysis of the Extensive Margin

Cuciniello, Vincenzo - 2020

We use monthly data on individual loans from the Italian Credit Register over the period from 1997 to 2019 and show that bank credit expansions in the non-financial private sector are mostly explained by variations in the extensive margin calculated either in credit flows or headcount of new...

Persistent link: https://www.econbiz.de/10012827866