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
Additional contact information
Francisco Covas: Federal Reserve Board
Albert Queralto: Federal Reserve Board

International Journal of Central Banking, 2019, vol. 15, issue 3, 137-204

Abstract: The macroeconomic 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 width of 90 percent confidence interval for the GDP response to a banking-sector shock produced by a VAR is comparable to the range of outcomes featured in our model-comparison exercise.

JEL-codes: E32 E44 E47 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (14)

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Related works:
Working Paper: Macroeconomic Effects of Banking Sector Losses across Structural Models (2015)
Working Paper: Macroeconomic Effects of Banking Sector Losses across Structural Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2019:q:3:a:5

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