Macroeconomic Effects of Banking Sector Losses Across Structural Models
FEDS Working Paper No. 2015-44
52 Pages Posted: 10 Jul 2015
Date Written: May 5, 2015
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: Suggested Citation