Capital Regulation in a Macroeconomic Model with Three Layers of Default
Laurent Clerc,
Alexis Derviz (),
Caterina Mendicino,
Stéphane Moyen,
Kalin Nikolov,
Livio Stracca,
Javier Suarez and
Alexandros P. Vardoulakis ()
Additional contact information
Alexandros P. Vardoulakis: Board of Governors of the Federal Reserve System, http://www.federalreserve.gov
Working Papers from CEMFI
Abstract:
We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This "3D model" shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation.
Keywords: Default risk; financial frictions and macroprudential policy. (search for similar items in EconPapers)
JEL-codes: E3 E44 G01 G21 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)
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https://www.cemfi.es/ftp/wp/1408.pdf (application/pdf)
Related works:
Journal Article: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2015) 
Working Paper: Capital regulation in a macroeconomic model with three layers of default (2015) 
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2015) 
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2014) 
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2014) 
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Persistent link: https://EconPapers.repec.org/RePEc:cmf:wpaper:wp2014_1408
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