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Banks, Sovereign Risk and Unconventional Monetary Policies

Stéphane Auray, Aurélien Eyquem and Xiaofei Ma ()
Additional contact information
Xiaofei Ma: CREST-Ensai and Université d'Evry;

No 1830, Working Papers from Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon

Abstract: We develop a two-country model with an explicitly microfounded interbank market and sovereign default risk. Calibrated to the core and the periphery of the Euro Area, the model gives rise to a debt-banks-credit loop that substantially amplifies the effects of financial shocks, especially for the periphery. We use the model to investigate the effects of a stylized public asset purchase program at the steady state and during a crisis. We find that it is more effective in stimulating the economy during a crisis, in particular for the periphery.

Keywords: Recession; Interbank Market; Sovereign Default Risk; Asset Purchases (search for similar items in EconPapers)
JEL-codes: E32 E44 E58 F34 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ban, nep-cba, nep-dge, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
ftp://ftp.gate.cnrs.fr/RePEc/2018/1830.pdf (application/pdf)

Related works:
Journal Article: Banks, sovereign risk and unconventional monetary policies (2018) Downloads
Working Paper: Banks, sovereign risk and unconventional monetary policies (2018)
Working Paper: Banks, Sovereign Risk and Unconventional Monetary Policies (2018) Downloads
Working Paper: Banks, Sovereign Risk and Unconventional Monetary Policies (2017) Downloads
Working Paper: Banks, Sovereign Risk and Unconventional Monetary Policies (2016)
Working Paper: Banks, Sovereign Risk and Unconventional Monetary Policies (2016)
Working Paper: Banks, Sovereign Risk and Unconventional Monetary Policies (2015)
Working Paper: Banks, Sovereign Risk and Unconventional Monetary Policies (2014) Downloads
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