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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

No 507, BIS Working Papers from Bank for International Settlements

Abstract: The macro spillover 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 range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions.

Keywords: banks; DSGE models; capital requirements; bank losses (search for similar items in EconPapers)
Pages: 53 pages
Date: 2015-07
New Economics Papers: this item is included in nep-dge and nep-mac
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Related works:
Journal Article: Macroeconomic Effects of Banking-Sector Losses across Structural Models (2019) Downloads
Working Paper: Macroeconomic Effects of Banking Sector Losses across Structural Models (2015) Downloads
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