Risky lending, bank leverage and unconventional monetary policy

• 成果类型: Article
• 署名作者: Ferrante, Francesco
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.07.014
• 发表日期: 2019
• 页码: 100-127
• 关键词: financial frictions; banking; mortgages; unconventional monetary policy; zero lower bound

摘要

A standard New Keynesian model is extended to include a rich financial system in which financially constrained banks lend to firms and homeowners via defaultable long-term loans. The model generates two endogenous components of interest rate spreads on mortgages and corporate loans: i) a default premium and ii) a liquidity premium. Financial shocks affecting these premiums can reproduce the behavior of several macroeconomic variables during the Great Recession, when we take into account the impact of the zero lower-bound. The model is also used to quantify the effect of the Federal Reserve's purchases of mortgage-backed securities during the last recession. Published by Elsevier B.V.