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Credit and Banking in a DSGE Model of the Euro Area

GERALI, ANDREA ; NERI, STEFANO ; SESSA, LUCA ; SIGNORETTI, FEDERICO M.

Journal of money, credit and banking, 2010-09, Vol.42 (s1), p.107-141 [Periódico revisado por pares]

Malden, USA: Blackwell Publishing Inc

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  • Título:
    Credit and Banking in a DSGE Model of the Euro Area
  • Autor: GERALI, ANDREA ; NERI, STEFANO ; SESSA, LUCA ; SIGNORETTI, FEDERICO M.
  • Assuntos: Bank capital ; Bank credit ; Bank earnings ; Bank loans ; Bank rates ; Banking industry ; banks ; collateral constraints ; E30 ; E32 ; E43 ; E51 ; E52 ; Economic fluctuations ; Interest rates ; Loan rates ; Loans ; sticky interest rates
  • É parte de: Journal of money, credit and banking, 2010-09, Vol.42 (s1), p.107-141
  • Notas: ark:/67375/WNG-29DN9TBH-3
    ArticleID:JMCB331
    istex:FC27157FD790EF233762C8EFA535C38B5128DB5C
    We benefited from comments by Tobias Adrian, Oscar Arce, Jaromír Benes, Vasco Cúrdia, Harris Dellas, Grégory de Walque, Joris de Wind, Bill English, Eugenio Gaiotti, Jordi Galí, Leonardo Gambacorta, Matteo Iacoviello, Michael Kumhof, Douglas Laxton, John Leahy, Jesper Lindé, Jesús Fernández Villaverde, Caterina Mendicino, Fabio Panetta, Massimiliano Rigon, Anti Ripatti, Argia Sbordone, Skander van den Heuvel, Mike Woodford, and Tack Yun. We thank participants at various conferences, workshops, and seminars held at Bank of Italy, ECB, Bank of England, Federal Reserve Board, De Nederlandsche Bank, Swiss National Bank, Riksbank, SED, EEA and SIE '09 meetings, NY Fed, DG EcFin, and CREI‐Universitat Pompeu Fabra. Andrea Gerali gratefully acknowledges hospitality and support in developing part of the paper while visiting the Economic Modeling Unit in the IMF Research Department in January 2009. The views expressed are those of the authors alone and do not necessarily reflect those of the Bank of Italy.
  • Descrição: This paper studies the role of credit supply factors in business cycle fluctuations using a dynamic stochastic general equilibrium (DSGE) model with financial frictions enriched with an imperfectly competitive banking sector.Banks issue collateralized loans to both households and firms, obtain funding via deposits, and accumulate capital out of retained earnings. Loan margins depend on the banks' capital-to-assets ratio and on the degree of interest rate stickiness. Balance-sheet constraints establish a link between the business cycle, which affects bank profits and thus capital, and the supply and cost of loans. The model is estimated with Bayesian techniques using data for the euro area. The analysis delivers the following results. First, the banking sector and, in particular, sticky rates attenuate the effects of monetary policy shocks, while financial intermediation increases the propagation of supply shocks. Second, shocks originating in the banking sector explain the largest share of the contraction of economic activity in 2008, while macroeconomic shocks played a limited role. Third, an unexpected destruction of bank capital may have substantial effects on the economy.
  • Editor: Malden, USA: Blackwell Publishing Inc
  • Idioma: Inglês
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