The Volatility Costs of Procyclical Lending Standards: An Assessment Using a Dsge Model
The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the beha...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2009
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| Schriftenreihe: | IMF Working Papers
Working Paper No. 09/35 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
| Zusammenfassung: | The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the behavior of banks' capital buffers. This paper uses a two-country DSGE model with financial frictions to illustrate how procyclicality in borrowing limits reinforces the "overreaction" of asset prices to shocks described by Aiyagari and Gertler (1999), and to quantify the stabilization gains from policies aimed at smoothing cyclical swings in credit conditions. Results suggest that, in financially constrained economies, the ensuing volatility reduction in equity prices, investment, and external imbalances would be sizable. In the presence of cross-border spillovers, gains would be even higher |
| Beschreibung: | 1 Online-Ressource (37 p) |
| ISBN: | 1451871821 9781451871821 |
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| index_date | 2024-07-03T20:13:28Z |
| indexdate | 2024-07-10T09:35:37Z |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Sgherri, Silvia Verfasser aut The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model Sgherri, Silvia Washington, D.C International Monetary Fund 2009 1 Online-Ressource (37 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 09/35 The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the behavior of banks' capital buffers. This paper uses a two-country DSGE model with financial frictions to illustrate how procyclicality in borrowing limits reinforces the "overreaction" of asset prices to shocks described by Aiyagari and Gertler (1999), and to quantify the stabilization gains from policies aimed at smoothing cyclical swings in credit conditions. Results suggest that, in financially constrained economies, the ensuing volatility reduction in equity prices, investment, and external imbalances would be sizable. In the presence of cross-border spillovers, gains would be even higher Online-Ausg Gruss, Bertrand Sonstige oth http://elibrary.imf.org/view/IMF001/09876-9781451871821/09876-9781451871821/09876-9781451871821.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Sgherri, Silvia The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model |
| title | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model |
| title_auth | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model |
| title_exact_search | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model |
| title_exact_search_txtP | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model |
| title_full | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model Sgherri, Silvia |
| title_fullStr | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model Sgherri, Silvia |
| title_full_unstemmed | The Volatility Costs of Procyclical Lending Standards An Assessment Using a Dsge Model Sgherri, Silvia |
| title_short | The Volatility Costs of Procyclical Lending Standards |
| title_sort | the volatility costs of procyclical lending standards an assessment using a dsge model |
| title_sub | An Assessment Using a Dsge Model |
| url | http://elibrary.imf.org/view/IMF001/09876-9781451871821/09876-9781451871821/09876-9781451871821.xml |
| work_keys_str_mv | AT sgherrisilvia thevolatilitycostsofprocyclicallendingstandardsanassessmentusingadsgemodel AT grussbertrand thevolatilitycostsofprocyclicallendingstandardsanassessmentusingadsgemodel |