文章基本信息

标题：Capital Regulation in a Macroeconomic Model with Three Layers of Default
本地全文：下载
作者：Laurent Clerc ; Alexis Derviz ; Caterina Mendicino 等
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2015
出版社：IJCB Publications Fulfillment
摘要：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