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Capital regulation in a macroeconomic model with three layers of default

Kalin Nikolov, Livio Stracca, Alexis Derviz (), Caterina Mendicino, Stéphane Moyen (), Laurent Clerc, Javier Suarez and Alexandros P. Vardoulakis

No 1827, Working Paper Series from European Central Bank

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 JEL Classification: E3, E44, G01, G21

Keywords: Default risk; financial frictions; macroprudential policy (search for similar items in EconPapers)
Date: 2015-07
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-rmg
Note: 288883
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (192)

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Related works:
Journal Article: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2015) Downloads
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2015) Downloads
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2014) Downloads
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2014) Downloads
Working Paper: Capital Regulation in a Macroeconomic Model with Three Layers of Default (2014) Downloads
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