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Board of Governors of the Federal Reserve System (US)
Finance and Economics Discussion Series
Macroeconomic Effects of Banking Sector Losses across Structural Models
The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers "model-based confidence intervals" for the real and financial effects of shocks originating in the financial sector. The range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions.
Cite this item
Luca Guerrieri & Matteo Iacoviello & Francisco Covas & John C. Driscoll & Michael T. Kiley & Mohammad Jahan-Parvar & Albert Queraltó & Jae W. Sim, Macroeconomic Effects of Banking Sector Losses across Structural Models, Board of Governors of the Federal Reserve System (US), Finance and Economics Discussion Series 2015-44, 03 Jun 2015.
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
Keywords: Bank losses; banks; capital requirements; DSGE models
This item with handle RePEc:fip:fedgfe:2015-44
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