Macroeconomic Effects of Banking Sector Losses across Structural Models
Luca Guerrieri (),
Matteo Iacoviello (),
Francisco Covas (),
John Driscoll (),
Michael Kiley (),
Mohammad Jahan-Parvar (),
Albert Queraltó and
No 2015-44, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)
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: Bank losses; banks; capital requirements; DSGE models (search for similar items in EconPapers)
JEL-codes: E42 E44 E47 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-dge, nep-mac and nep-mon
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http://www.federalreserve.gov/econresdata/feds/2015/files/2015044pap.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/FEDS.2015.044 http://dx.doi.org/10.17016/FEDS.2015.044 (application/pdf)
Journal Article: Macroeconomic Effects of Banking-Sector Losses across Structural Models (2019)
Working Paper: Macroeconomic Effects of Banking Sector Losses across Structural Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2015-44
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