1·分享論文

Credit and Banking in a DSGE Model of the Euro Area (ANDREA GERALI, STEFANO NERI, LUCA SESSA, FEDERICO M. SIGNORETTI 2010)

2·分享人

孫甯（金融學院，2023級博士生）

3·時間

2023年11月30日（周四）

晚上19:00-22：00

4·地點

學術會堂712

5·主持人

王忏（金融學院）

趙軍柱（韦德体育bevictor中國經濟與管理研究院）

6·論文摘要

This paper studies the role of credit supply factors in business cycle fluctuations using a dynamic stochastic general equilibrium (DSGE) model with financial frictions enriched with an imperfectly competitive banking sector. Banks issue collateralized loans to both households and firms, obtain funding via deposits, and accumulate capital out of retained earnings. Loan margins depend on the banks’ capital-to-assets ratio and on the degree of interest rate stickiness. Balance-sheet constraints establish a link between the business cycle, which affects bank profits and thus capital, and the supply and cost of loans. The model is estimated with Bayesian techniques using data for the euro area. The analysis delivers the following results. First, the banking sector and, in particular, sticky rates attenuate the effects of monetary policy shocks, while financial intermediation increases the propagation of supply shocks. Second, shocks originating in the banking sector explain the largest share of the contraction of economic activity in 2008, while macroeconomic shocks played a limited role. Third, an unexpected destruction of bank capital may have substantial effects on the economy.

7·活動對象

韦德体育bevictor、金融學院學生

8·人數規模

30人

9·主辦單位

韦德体育bevictor中國經濟與管理研究院、金融學院聯合主辦