Arbeitspapier
Banking panic risk and macroeconomic uncertainty
We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production economy with a banking sector where financial constraints of banks can lead to disastrous banking panics. We find that a higher probability of a banking panic increases uncertainty in the aggregate economy. We explore the implications of this banking panic-driven uncertainty for business cycles, asset prices and macroprudential regulation. Banking panic-driven uncertainty amplifies business cycle volatility and increases risk premia on asset prices. A countercyclical capital buffer lowers both the probability of banking panics and aggregate uncertainty.
- Sprache
-
Englisch
- Erschienen in
-
Series: Danmarks Nationalbank Working Papers ; No. 149
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
- Thema
-
Banking Panics
Systemic Risk
Endogenous Uncertainty
Macroprudential Policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mikkelsen, Jakob Guldbæk
Poeschl, Johannes
- Ereignis
-
Veröffentlichung
- (wer)
-
Danmarks Nationalbank
- (wo)
-
Copenhagen
- (wann)
-
2020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 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.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mikkelsen, Jakob Guldbæk
- Poeschl, Johannes
- Danmarks Nationalbank
Entstanden
- 2020
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