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Transmission of Macro Shocks to Loan Losses in a Deep Crisis : The Case of Finland

Jokivuolle, Esa - 2009

Building on the work of Sorge and Virolainen (2006), we revisit the data on aggregate Finnish bank loan losses from the corporate sector, which covers the ‘Big Five' crisis in Finland in the early 1990s. Several extensions to the empirical model are considered. These extensions are then used...

Persistent link: https://www.econbiz.de/10013153601

Banking euro area stress test model

Budnik, Katarzyna; Mozzanica, Mirco Balatti; Dimitrov, Ivan - 2020

The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It...

Persistent link: https://www.econbiz.de/10012286943

Macroprudential stress test of the euro area banking system

Budnik-Gałązka, Katarzyna; Mozzanica, Mirco Balatti; … - 2019

This paper presents an approach to a macroprudential stress test for the euro area banking system, comprising the 91 largest euro area credit institutions across 19 countries. The approach involves modelling banks'reactions to changing economic conditions. It also examines the effects of adverse...

Persistent link: https://www.econbiz.de/10012033284

Is risk the fuel of the business cycle? : financial frictions and oil market disturbances

Schult, Christoph - Leibniz-Institut für Wirtschaftsforschung Halle - 2024

I estimate a dynamic stochastic general equilibrium (DSGE) model for the United States that incorporates oil market shocks and risk shocks working through credit market frictions. The findings of this analysis indicate that risk shocks play a crucial role during the Great Recession and the...

Persistent link: https://www.econbiz.de/10014474905

Banking Crisis and Cyclic Shocks : A Perspective on Volatility Clustering

Sun, Mingyuan - 2019

. Experience from past financial crises shows, major indicators in financial markets have clustered volatility during periods of …. The results show that crises indicator volatility tends to cluster together when distress signals begin to appear in the … for a better understanding of the relationship between business cycle and banking crises …

Persistent link: https://www.econbiz.de/10012898293

Global Banks, Financial Shocks and International Business Cycles : Evidence from an Estimated Model

Kollmann, Robert - 2015

This paper estimates a two-country model with a global bank, using US and Euro Area (EA) data, and Bayesian methods. The estimated model matches key US and EA business cycle statistics. Empirically, a model version with a bank capital requirement outperforms a structure without such a...

Persistent link: https://www.econbiz.de/10013035517

Financial intermediation, capital accumulation and crisis recovery

Gersbach, Hans; Rochet, Jean-Charles; Scheffel, Martin - 2019 - This Version: December 2019

wage rigidities in banking crises …

Persistent link: https://www.econbiz.de/10012134794

Systemic risk in banking, fire sales, and macroeconomic disasters

Bougheas, Spiros P.; Harvey, David I.; Kirman, Alan P.; … - 2024

We develop a dynamic computational network model of the banking system where fire sales provide the amplification mechanism of financial shocks. Each period a finite number of banks offers a large, but finite, number of loans to households. Banks with excess liquidity also offer loans to other...

Persistent link: https://www.econbiz.de/10014490902

The banking crisis as dynamic stochastic general equilibrium ; what's wrong with modern macroeconomics?

Minford, Patrick - In: CESifo economic studies : CESifo, a joint initiative of … 56 (2010) 4, pp. 554-574

Crises are triggered by the inherent uncertainty of the capitalist system. We represent this uncertainty in an open … shocks will accumulate, producing euphorias and crises; banking crises will be superimposed when banks have been sucked in by …

Persistent link: https://www.econbiz.de/10008809501

The Impact of Permanent Energy Price Shocks on the UK Economy

Harrison, Richard - 2011

This paper outlines the properties of one of the models used at the Bank of England for analyzing the impact of energy prices on the UK economy. We build a dynamic general equilibrium model that includes a variety of channels through which energy prices affect demand and supply. On the demand...

Persistent link: https://www.econbiz.de/10013122035

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