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Author:Afanasyeva, Elena 

Working Paper
Bank Market Power and the Risk Channel of Monetary Policy
This paper investigates the risk channel of monetary policy through banks' lending standards. We modify the classic costly state verification (CSV) problem by introducing a risk-neutral monopolistic bank, which maximizes profits subject to borrower participation. While the bank can diversify idiosyncratic default risk, it bears the aggregate risk. We show that, in partial equilibrium, the bank prefers a higher leverage ratio of borrowers, when the profitability of lending increases, e.g. after a monetary expansion. This risk channel persists when we embed our contract in a standard New Keynesian DSGE model. Using a factor-augmented vector autoregression (FAVAR) approach, we find that the model-implied impulse responses to a monetary policy shock replicate their empirical counterparts.
AUTHORS: Afanasyeva, Elena; Guntner, Jochen
DATE: 2018-01-19

Journal Article
The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Quantitative Exploration
In this note, we explore the link between indicators of financial imbalances and macroeconomic performance, focusing on the experience of the United States. In an accompanying note, The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Narrative Investigation, we follow a narrative approach to review historical episodes of significant financial imbalances and examine whether these episodes were linked to macroeconomic overheating.
AUTHORS: Afanasyeva, Elena; Lee, Seung Jung; Modugno, Michele; Palomino, Francisco J.
DATE: 2018-10-12

Journal Article
The Relationship between Macroeconomic Overheating and Financial Vulnerability : A Narrative Investigation
In this note, we follow a narrative approach to review historical episodes of significant financial imbalances and examine whether these episodes were linked to macroeconomic overheating.
AUTHORS: Afanasyeva, Elena; Lee, Seung Jung; Modugno, Michele; Palomino, Francisco J.
DATE: 2018-10-12

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