Credit Spreads, Financial Crises, and Macroprudential Policy

• 成果类型: Article
• 署名作者: Akinci, Ozge; Queralto, Albert
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180059
• 发表日期: 2022
• 页码: 469-507
• 关键词: business cycles; macroeconomic model; country spreads; monetary-policy; externalities; normality; banking; tests; booms

摘要

Credit spreads display occasional spikes and are more strongly countercyclical in times of elevated financial stress. Financial crises are extreme cases of this nonlinear behavior, featuring skyrocketing credit spreads, sharp losses in bank equity, and deep recessions. We develop and estimate a macroeconomic model with a banking sector in which banks' leverage constraints are occasionally binding and equity issuance is endogenous. The model captures the nonlinearities in the data and produces quantitatively realistic crises. Banks' precautionary equity issuance makes crises infrequent but does not prevent them altogether. A macroprudential policy inducing banks to issue more equity has considerable welfare benefits.