Financial (In)Stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach

• 成果类型: Article
• 署名作者: de Walque, Gregory; Pierrard, Olivier; Rouabah, Abdelaziz
• 署名单位: European Central Bank; National Bank of Belgium; Universite Catholique Louvain
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/j.1468-0297.2010.02383.x
• 发表日期: 2010
• 页码: 1234-1261
• 关键词: monetary-policy; labor-market; credit; MODEL; default; rates

摘要

We develop a DSGE model with a heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injections into the interbank market. We aim to understand the interactions between the banking sector and the rest of the economy and the importance of supervisory and monetary authorities in restoring financial stability. The model is calibrated against real US data and used for simulations. The minimum capital requirements of Basel I regulation reduce the long-run level of output but improve the resilience of the economy to shocks, while Basel II capital requirements increase business cycle fluctuations.