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A general equilibrium model with banks and default on loans

Takamura, Tamon - 2013

During the recent financial crisis in the U.S., banks reduced new business lending amidst concerns about borrowers' ability to repay. At the same time, firms facing higher borrowing costs alongside a worsening economic outlook reduced investment. To explain these aggregate business cycle...

Persistent link: https://www.econbiz.de/10009690835

A policy model to analyze macroprudential regulations and monetary policy

Alpanda, Sami; Cateau, Gino; Meh, Césaire Assah - 2014

We construct a small-open-economy, New Keynesian dynamic stochastic generalequilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. First, it allows for non-trivial...

Persistent link: https://www.econbiz.de/10010238951

Dating systemic financial stress episodes in the EU countries

Duprey, Thibaut; Klaus, Benjamin; Peltonen, Tuomo - 2016

This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...

Persistent link: https://www.econbiz.de/10011441674

Fragility of resale markets for securitized assets and policy of asset purchases

Kuncl, Martin - 2016

Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or...

Persistent link: https://www.econbiz.de/10011552808

A policy model to analyze macroprudential regulations and monetary policy

Alpanda, Sami; Cateau, Gino; Meh, Césaire Assah - 2014

Persistent link: https://www.econbiz.de/10010433950

Securitization under asymmetric information over the business cycle

Kuncl, Martin - 2015

This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly...

Persistent link: https://www.econbiz.de/10010479999

Credit conditions and consumption, house prices and debt : what makes Canada different?

Muellbauer, John; St-Amant, Pierre; Williams, David - 2015

There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or …-correction equations for Canadian aggregate consumption, house prices and mortgage debt. We find strong evidence that, after controlling … for income and household portfolios, easier credit conditions raise house prices, debt and consumption. However, unlike in …

Persistent link: https://www.econbiz.de/10011408596

Life without virtue: economists rule : review essay of Dani Rodrik's Economics Rules

Amadae, Sonja M. - In: Economic issues 25 (2020) 2, pp. 51-70

Persistent link: https://www.econbiz.de/10012654940

Stressed but not helpless : strategic behavior of banks under adverse market conditions

Halaj, Grzegorz; Priazhkina, Sofia - 2021 - Last updated: July 19, 2021

We model bank management actions in severe stress test conditions using a game-theoretical framework. Banks update their balance sheets to strategically maximize risk-adjusted returns to shareholders given three regulatory constraints and feedback effects related to fire sales, interactions of...

Persistent link: https://www.econbiz.de/10012591729

Monetary policy, leverage, and bank risk-taking

Dell'Ariccia, Giovanni; Laeven, Luc; Marquez, Robert - 2010

We provide a theoretical foundation for the claim that prolonged periods of easy monetary conditions increase bank risk taking. The net effect of a monetary policy change on bank monitoring (an inverse measure of risk taking) depends on the balance of three forces: interest rate pass-through,...

Persistent link: https://www.econbiz.de/10011892951

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