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

International Journal of Central Banking, 2015, vol. 11, issue 3, 9-63

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.

JEL-codes: E3 E44 G01 G21 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (192)

Downloads: (external link)
http://www.ijcb.org/journal/ijcb15q3a1.pdf (application/pdf)
http://www.ijcb.org/journal/ijcb15q3a1.htm (text/html)

Related works:
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)
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2014)
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:ijc:ijcjou:y:2015:q:3:a:1

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().