EconPapers    
Economics at your fingertips  
 

Banks, Sovereign Risk and Unconventional Monetary Policies

Stéphane Auray, Aurélien Eyquem and Xiaofei Ma
Additional contact information
Xiaofei Ma: CREST - Centre de Recherche en Economie et Statistique [Bruz] - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz], UEVE - Université d'Évry-Val-d'Essonne

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://halshs.archives-ouvertes.fr/halshs-01942734
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-01942734/document (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) Downloads
Working Paper: Banks, sovereign risk and unconventional monetary policies (2018)
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
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:halshs-01942734

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2021-02-11
Handle: RePEc:hal:wpaper:halshs-01942734