Banks’ liquidity transformation rate: determinants and impact on lending

Raffaele Lenzi (), Stefano Nobili, Filippo Perazzoli () and Rosario Romeo ()
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Raffaele Lenzi: Bank of Italy
Filippo Perazzoli: Bank of Italy
Rosario Romeo: Bank of Italy

No 32, Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems) from Bank of Italy, Directorate General for Markets and Payment System

Abstract: Policy evaluation based on the estimation of dynamic stochastic general equilibrium models with aggregate macroeconomic time series rests on the assumption that a representative agent can be identified, whose behavioural parameters are independent of the policy rules. Building on earlier work by Geweke, the main goal of this paper is to show that the representative agent is in general not structural, in the sense that its estimated behavioural parameters are not policyindependent. The paper identifies two different sources of nonstructurality. The latter is shown to be a fairly general feature of optimizing representative agent rational expectations models estimated on macroeconomic data.

Keywords: Liquidity transformation rate; Liquidity Coverage Ratio; central bank credit operations; collateral assets; Covid-19 pandemic; loans (search for similar items in EconPapers)
JEL-codes: E50 E58 G21 G28 (search for similar items in EconPapers)
Date: 2023-03
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wpmisp:mip_032_23

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