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Global banks, financial shocks and international business cycles: evidence from an estimated model

Robert Kollmann ()

No 120, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: This paper estimates a two-country model with a global bank, using U.S. and Euro area (EA) data, and Bayesian methods. The estimated model matches key U.S. and EA business cycle statistics. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for U.S. real activity. During the Great Recession (2007–09), banking shocks accounted for about 20 percent of the fall in U.S. and EA GDP, and for more than half of the fall in EA investment and employment.

JEL-codes: E44 F36 F37 G21 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cba, nep-dge, nep-mac and nep-opm
Date: 2012
Note: Published as: Kollmann, Robert (2013), "Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model," Journal of Money, Credit and Banking 45 (s2): 159-195.
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http://www.dallasfed.org/assets/documents/institute/wpapers/2012/0120.pdf (application/pdf)

Related works:
Journal Article: Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model (2013) Downloads
Working Paper: Global Banks, Financial Shocks And International Business Cycles: Evidence From An Estimated Model (2013) Downloads
Working Paper: Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model (2012) Downloads
Working Paper: Global Banks, Financial Shocks and International Business Cycles: Evidence from Estimated Models (2012) Downloads
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