Laurent Clerc, A. Derviz, Caterina Mendicino, Caterina Mendicino, Stéphane Moyen, Kalin Nikolov, Livio Stracca, Javier Suarez, Javier Suarez, Alexandros P. Vardoulakis
{"title":"Capital Regulation in a Macroeconomic Model with Three Layers of Default","authors":"Laurent Clerc, A. Derviz, Caterina Mendicino, Caterina Mendicino, Stéphane Moyen, Kalin Nikolov, Livio Stracca, Javier Suarez, Javier Suarez, Alexandros P. Vardoulakis","doi":"10.2139/SSRN.2544607","DOIUrl":null,"url":null,"abstract":"We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This “3D model” shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation.","PeriodicalId":51531,"journal":{"name":"International Journal of Central Banking","volume":"48 1","pages":"9-63"},"PeriodicalIF":1.4000,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"73","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Central Banking","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.2139/SSRN.2544607","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 73
Abstract
We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This “3D model” shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
