Banks, Sovereign Risk and Unconventional Monetary Policies

Stéphane Auray, Aurélien Eyquem and Xiaofei Ma

Working Papers from HAL

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)
Date: 2018
New Economics Papers: this item is included in nep-ban, nep-cba, nep-dge, nep-eec and nep-mon
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01942734v1
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Citations: View citations in EconPapers (14)

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