Macroeconomic Effects of Banking Sector Losses Across Structural Models

FEDS Working Paper No. 2015-044

http://dx.doi.org/10.17016/FEDS.2015.044

52 Pages Posted: 10 Jul 2015

See all articles by Luca Guerrieri

Luca Guerrieri

Federal Reserve Board - Trade and Financial Studies

Matteo M. Iacoviello

Federal Reserve Board - Trade and Financial Studies

Francisco Covas

Board of Governors of the Federal Reserve System

John C. Driscoll

Federal Reserve Board

Michael T. Kiley

Board of Governors of the Federal Reserve System

Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System

Albert Queralto

Federal Reserve Board - Trade and Financial Studies Section

Jae Sim

Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Date Written: May 5, 2015

Abstract

The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers "model-based confidence intervals" for the real and financial effects of shocks originating in the financial sector. The range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions.

Keywords: Bank losses, Banks, Capital requirements, DSGE models

JEL Classification: E32, E44, E47

Suggested Citation

Guerrieri, Luca and Iacoviello, Matteo M. and Covas, Francisco and Driscoll, John C. and Kiley, Michael T. and Jahan-Parvar, Mohammad R. and Queralto, Albert and Sim, Jae W., Macroeconomic Effects of Banking Sector Losses Across Structural Models (May 5, 2015). http://dx.doi.org/10.17016/FEDS.2015.044. Available at SSRN: https://ssrn.com/abstract=2628186 or http://dx.doi.org/10.2139/ssrn.2628186

Luca Guerrieri (Contact Author)

Federal Reserve Board - Trade and Financial Studies ( email )

20th St. and Constitution Ave.
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202-452-2550 (Phone)

Matteo M. Iacoviello

Federal Reserve Board - Trade and Financial Studies ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

Francisco Covas

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

John C. Driscoll

Federal Reserve Board ( email )

20th and C Streets, NW
Washington, DC 20551
United States

HOME PAGE: http://www.federalreserve.gov/econresdata/john-c-driscoll.htm

Michael T. Kiley

Board of Governors of the Federal Reserve System ( email )

20th and C Streets, NW
Washington, DC 20551
United States
202-452-2448 (Phone)
202-452-5296 (Fax)

Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

HOME PAGE: http://sites.google.com/site/mrjahan/

Albert Queralto

Federal Reserve Board - Trade and Financial Studies Section ( email )

20th St. and Constitution Ave.
Washington, DC 20551
United States

Jae W. Sim

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

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