Macroeconomic Effects of Banking Sector Losses Across Structural Models

Posted: 9 Jul 2021

See all articles by Francisco Covas

Francisco Covas

Board of Governors of the Federal Reserve System

John C. Driscoll

Board of Governors of the Federal Reserve System

Luca Guerrieri

Board of Governors of the Federal Reserve System

Matteo Iacoviello

Board of Governors of the Federal Reserve System

Mohammad Jahan-Parvar

affiliation not provided to SSRN

Michael T. Kiley

affiliation not provided to SSRN

Albert Queralto

Board of Governors of the Federal Reserve System

Jae Sim

Board of Governors of the Federal Reserve System

Multiple version iconThere are 3 versions of this paper

Date Written: June, 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.

JEL Classification: E42, E44, E47

Suggested Citation

Covas, Francisco and Driscoll, John C. and Guerrieri, Luca and Iacoviello, Matteo and Jahan-Parvar, Mohammad and Kiley, Michael T. and Queralto, Albert and Sim, Jae W., Macroeconomic Effects of Banking Sector Losses Across Structural Models (June, 2015). FEDS Working Paper No. 2015-44, Available at SSRN: https://ssrn.com/abstract=3876998

Francisco Covas (Contact Author)

Board of Governors of the Federal Reserve System

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

John C. Driscoll

Board of Governors of the Federal Reserve System ( email )

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

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

Luca Guerrieri

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States
202-452-2550 (Phone)

Matteo Iacoviello

Board of Governors of the Federal Reserve System ( email )

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

Mohammad Jahan-Parvar

affiliation not provided to SSRN

No Address Available

Michael T. Kiley

affiliation not provided to SSRN

No Address Available

Albert Queralto

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
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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