Bank capital structure and the credit channel of central bank asset purchases

Christoffer Kok, Matthieu Darracq Paries and Grzegorz Halaj

No 1916, Working Paper Series from European Central Bank

Abstract: With the aim of reigniting inflation in the euro area, in early 2015 the ECB embarked on a large-scale asset purchase programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation approach using granular bank level data. An important feature of our modelling approach is that it captures the heterogeneity of banks JEL Classification: C61, E52, G11

Keywords: banking; DSGE; portfolio optimisation; quantitative easing (search for similar items in EconPapers)
Date: 2016-06
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cmp, nep-dge, nep-ger, nep-mac and nep-mon
Note: 508948
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Citations: View citations in EconPapers (4)

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