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Financial (in)stability, supervision and liquidity injections: a dynamic general equilibrium approach

Walque, Gregory de; Pierrard, Olivier; Rouabah, Abdelaziz - Central Bank of Luxembourg - 2008

This paper develops a dynamic stochastic general equilibrium model with interactions between a heterogeneous banking sector and other private agents. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank...

Persistent link: https://www.econbiz.de/10009276949

The role of banking regulation in an economy under credit risk and liquidity shock

Silva, Marcos Soares da; Divino, Jose Angelo - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 266-281

This paper develops a Dynamic Stochastic General Equilibrium model which includes a financial sector to analyze the effects of liquidity shock and credit risk in the Brazilian economy. Banks use equity capital and deposits from agents to finance investments of the productive sector. The sources...

Persistent link: https://www.econbiz.de/10010730244

Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016

In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role … that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in … crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities …

Persistent link: https://www.econbiz.de/10011801276

Is monetary policy always effective? Incomplete interest rate pass-through in a DSGE model

Binning, Andrew; Bjørnland, Hilde Christiane; Maih, Junior - 2019

We estimate a regime-switching DSGE model with a banking sector to explain incomplete and asymmetric interest rate pass …

Persistent link: https://www.econbiz.de/10012661554

Financial (in)stability, supervision and liquidity injections : a dynamic general equilibrium approach

Walque, Gregory de; Pierrard, Olivier; Rouabah, Abdelaziz - Nationale Bank van België/Banque national de Belqique (BNB) - 2008

This paper develops a dynamic stochastic general equilibrium model with interactions between an heterogeneous banking sector and other private agents. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the...

Persistent link: https://www.econbiz.de/10005033332

Financial (In)stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach

de Walque, Gregory; Pierrard, Olivier; Rouabah, Abdelaziz - C.E.P.R. Discussion Papers - 2009

We develop a dynamic stochastic general equilibrium model with an heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank market. Our aim is to understand the interactions...

Persistent link: https://www.econbiz.de/10005067613