Macroeconomic Effects of Banking Sector Losses across Structural Models

Luca Guerrieri, Matteo Iacoviello, Francisco Covas (), John Driscoll, Mohammad Jahan-Parvar, Michael Kiley, Albert Queralto and Jae Sim

No 507, BIS Working Papers from Bank for International Settlements

Abstract: The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers "model-based confidence intervals" for the real and financial effects of shocks originating in the financial sector. The range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions.

Keywords: banks; DSGE models; capital requirements; bank losses (search for similar items in EconPapers)
Pages: 53 pages
Date: 2015-07
New Economics Papers: this item is included in nep-dge and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://www.bis.org/publ/work507.pdf Full PDF document (application/pdf)
http://www.bis.org/publ/work507.htm (text/html)

Related works:
Journal Article: Macroeconomic Effects of Banking-Sector Losses across Structural Models (2019)
Working Paper: Macroeconomic Effects of Banking Sector Losses across Structural Models (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:507

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().