Macroeconomic Effects of Banking Sector Losses Across Structural Models

53 Pages Posted: 3 Aug 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

Mohammad R. Jahan-Parvar

Board of Governors of the Federal Reserve System

Michael T. Kiley

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: July 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: Banks, DSGE Models, Capital Requirements, Bank Losses

JEL Classification: E32, E44, E47

Suggested Citation

Guerrieri, Luca and Iacoviello, Matteo M. and Covas, Francisco and Driscoll, John C. and Jahan-Parvar, Mohammad R. and Kiley, Michael T. and Queralto, Albert and Sim, Jae W., Macroeconomic Effects of Banking Sector Losses Across Structural Models (July 2015). BIS Working Paper No. 507. Available at SSRN: https://ssrn.com/abstract=2638062

Luca Guerrieri (Contact Author)

Federal Reserve Board - Trade and Financial Studies ( email )

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Matteo M. Iacoviello

Federal Reserve Board - Trade and Financial Studies ( email )

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Francisco Covas

Board of Governors of the Federal Reserve System ( email )

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John C. Driscoll

Federal Reserve Board ( email )

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Mohammad R. Jahan-Parvar

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Michael T. Kiley

Board of Governors of the Federal Reserve System ( email )

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202-452-5296 (Fax)

Albert Queralto

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

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