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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)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cmp, nep-dge, nep-ger, nep-mac and nep-mon
Date: 2016-06
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