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Capital regulation in a macroeconomic model with three layers of default

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Listed:
  • Nikolov, Kalin
  • Stracca, Livio
  • Derviz, Alexis
  • Mendicino, Caterina
  • Moyen, Stéphane
  • Clerc, Laurent
  • Suarez, Javier
  • Vardoulakis, Alexandros P.

Abstract

We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This JEL Classification: E3, E44, G01, G21

Suggested Citation

  • Nikolov, Kalin & Stracca, Livio & Derviz, Alexis & Mendicino, Caterina & Moyen, Stéphane & Clerc, Laurent & Suarez, Javier & Vardoulakis, Alexandros P., 2015. "Capital regulation in a macroeconomic model with three layers of default," Working Paper Series 1827, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20151827
    Note: 288883
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    More about this item

    Keywords

    Default risk; financial frictions; macroprudential policy;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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