Macroeconomic Costs of Higher Bank Capital and Liquidity Requirements
Scott Roger,Jan Vlcek +1 more
TLDR
In this paper, the authors used a DSGE model with banks and financial frictions in credit markets to assess the medium-term macroeconomic costs of increasing capital and liquidity requirements.Abstract:
This paper uses a DSGE model with banks and financial frictions in credit markets to assess the medium-term macroeconomic costs of increasing capital and liquidity requirements. The analysis indicates that the macroeconomic costs of such measures are sensitive to the length of the implementation period as well as to the adjustment strategy used by banks, and the scope for monetary policy to respond to the regulatory changes.read more
Citations
More filters
Journal ArticleDOI
The Interaction between Capital Requirements and Monetary Policy
TL;DR: In this paper, the interaction between capital requirements and monetary policy is assessed by means of simple rules in a dynamic general equilibrium model featuring a banking sector, and the benefits of introducing capital requirements become sizeable when financial shocks, which affect the supply of loans, are important drivers of economic dynamics; the availability of capital requirements as a policy tool yields a significant gain in terms of macroeconomic stabilization.
Posted Content
Basel III: Long-term impact on economic performance and fluctuations
Paolo Angelini,Laurent Clerc,Vasco C�rdia,Leonardo Gambacorta,Andrea Gerali,Alberto Locarno,Roberto Motto,Werner Roeger,Skander Van den Heuvel,Jan Vlček +9 more
TL;DR: In this article, the authors assess the long-term economic impact of the new regulatory standards (the Basel III reform), answering the following questions: (1) What is the impact of reform on longterm economic performance? (2) What are the benefits of reform in terms of reduced frequency and severity of financial crisis, analyzed in Basel Committee on Banking Supervision (BCBS, 2010b).
Posted Content
Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area
Dominic Quint,Pau Rabanal +1 more
TL;DR: In this article, the optimal mix of monetary and macro-prudential policies in an estimated two-country model of the euro area is studied, and the authors find that the introduction of a macro-probabilistic rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies.
Journal ArticleDOI
Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area
Dominic Quint,Pau Rabanal +1 more
TL;DR: In this article, the optimal mix of monetary and macro-prudential policies in an estimated two-country model of the euro area is studied, and the authors find that the introduction of a macro-probabilistic rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies.
Journal ArticleDOI
BASEL III: Long-term impact on economic performance and fluctuations
Paolo Angelini,Laurent Clerc,Vasco Cúrdia,Leonardo Gambacorta,Andrea Gerali,Alberto Locarno,Roberto Motto,Werner Roeger,Skander Van den Heuvel,Jan Vlcek +9 more
TL;DR: In this article, the authors assess the long-term economic impact of the Basel III reform using a wide range of macroeconomic and econometric models and find that the economic costs of the new regulatory standards for bank capital and liquidity are considerably below existing estimates of the benefits that the reform should have by reducing the probability of banking crises.
References
More filters
Journal ArticleDOI
House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle
TL;DR: This paper developed a general equilibrium model with sticky prices, credit constraints, nominal loans and asset prices, and found that monetary policy should not target asset prices as a means of reducing output and inflation volatility.
Journal ArticleDOI
Optimal monetary policy with staggered wage and price contracts
TL;DR: In this paper, the unconditional expectation of average household utility is expressed in terms of the unconditional variances of the output gap, price inflation, and wage inflation, where the model exhibits a tradeoff in stabilizing output gap and price inflation.
Posted Content
Optimal Monetary Policy with Staggered Wage and Price Contracts
TL;DR: In this article, the unconditional expectation of average household utility is expressed in terms of the unconditional variances of the output gap, price inflation, and wage inflation, where the model exhibits a tradeoff between stabilizing output gap and price inflation.
Journal ArticleDOI
Housing Market Spillovers: Evidence from an Estimated DSGE Model
Stefano Neri,Matteo Iacoviello +1 more
TL;DR: In this paper, the authors investigated the ability of a two-sector model to quantify the contribution of the housing market to business fluctuations using U.S. data and Bayesian methods and found that a large fraction of the upward trend in real housing prices over the last 40 years can be accounted for by slow technological progress in the housing sector.
Journal ArticleDOI
Credit and Banking in a DSGE Model of the Euro Area
TL;DR: In this article, the role of credit-supply factors in business cycle fluctuations is investigated. And the authors show that the existence of a banking sector partially attenuates the effects of demand shocks, while it helps propagate supply shocks.