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Behavioural credit cycles
Delli Gatti, Domenico; Iannotta, Gabriele - 2022
defaults, following a positive productivity shock, our behavioural model (BCC Mark I) generates hump-shaped impulse …-response functions that are more realistic than those generated by the same shock in a corresponding model with rational expectations … (RCC). When the behavioural model allows also for defaults (BCC Mark II), a productivity shock triggers ample and …
Persistent link: https://www.econbiz.de/10013380476
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Imperfect information about financial frictions and consequences for the business cycle
Hollmayr, Josef; Kühl, Michael - 2015
In this paper, we discuss the consequences of imperfect information about financial frictions on the macroeconomy. We rely on a New Keynesian DSGE model with a banking sector in which we introduce imperfect information about a limited enforcement problem. Bank managers divert resources and can...
Persistent link: https://www.econbiz.de/10010517143
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Imperfect Information About Financial Frictions and Consequences for the Business Cycle
Hollmayr, Josef - 2016
In this paper, we discuss the consequences of imperfect information about financial frictions on the macroeconomy. We rely on a New Keynesian DSGE model with a banking sector in which we introduce imperfect information about a limited enforcement problem. Bank managers divert resources and can...
Persistent link: https://www.econbiz.de/10012988699
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Financial frictions : micro vs macro volatility
Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021
We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...
Persistent link: https://www.econbiz.de/10012705511
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Financial Frictions : Micro vs Macro Volatility
Lee, Seungcheol; Luetticke, Ralph; Ravn, Morten O. - 2021
We introduce frictional financial intermediation into a HANK model. Households are subject to idiosyncratic and aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces an endogenous countercyclical spread between the...
Persistent link: https://www.econbiz.de/10013312156
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Wealth shocks and macroeconomic dynamics
Cooper, Daniel; Dynan, Karen E. - 2013 - This version: June 14, 2013
The effect of wealth on consumption is an issue of longstanding interest to economists. Analysts believe that fluctuations in household wealth have driven major swings in economic activity. This paper considers so-called wealth effects - the impact of changes in wealth on household consumption...
Persistent link: https://www.econbiz.de/10009760038
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Redistribution, inequality, and efficiency with credit constraints
Getachew, Yoseph Yilma; Turnovsky, Stephen J. - 2020
Persistent link: https://www.econbiz.de/10012436323
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Financial Frictions and Global Spillovers
Metiu, Norbert - 2016
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10012988701
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Quantitative Easing, Collateral Constraints, and Financial Spillovers
Geanakoplos, John - 2018
The steady application of Quantitative Easing (QE) has been followed by big and non-monotonic effects on international asset prices and international capital flows. These are difficult to explain in conventional models, but arise naturally in a model with collateral. This paper develops a...
Persistent link: https://www.econbiz.de/10012906607
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Quantitative Easing, Collateral Constraints, and Financial Spillovers
Geanakoplos, John - 2019
The steady application of Quantitative Easing (QE) has been followed by big and non-monotonic effects on international asset prices and international capital flows. These are difficult to explain in conventional models, but arise naturally in a model with collateral. This paper develops a...
Persistent link: https://www.econbiz.de/10012896238