Arbeitspapier

Financial (in)stability, supervision and liquidity injections: a dynamic general equilibrium approach

This paper develops a dynamic stochastic general equilibrium model with interactions between an heterogeneous banking sector and other private agents. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbankmarket. Our aim is to understand the importance of supervisory and monetary authorities to restore financial stability. The model is calibrated against real data and used for simulations. We show that liquidity injections reduce financial instability but have ambiguous effects on output fluctuations. The model also confirms the partial equilibrium literature results on the procyclicality of Basel II.

Sprache
Englisch

Erschienen in
Series: NBB Working Paper ; No. 148

Klassifikation
Wirtschaft
General Aggregative Models: Neoclassical
Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Thema
DSGE
Banking sector
Default risk
Supervision
Money
Bankenliquidität
Geldpolitik
Bankenaufsicht
Basler Akkord
Dynamisches Gleichgewicht
Theorie
OECD-Staaten

Ereignis
Geistige Schöpfung
(wer)
de Walque, Gregory
Pierrard, Olivier
Rouabah, Abdelaziz
Ereignis
Veröffentlichung
(wer)
National Bank of Belgium
(wo)
Brussels
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • de Walque, Gregory
  • Pierrard, Olivier
  • Rouabah, Abdelaziz
  • National Bank of Belgium

Entstanden

  • 2008

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