Banking Panic Risk and Macroeconomic Uncertainty

IF 1.2 3区 经济学 Q3 BUSINESS, FINANCE
JOHANNES POESCHL, JAKOB G. MIKKELSEN
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Abstract

We explore the interactions between banking panics and uncertainty shocks. To do so, we build a model of a production economy with a banking sector. In the model, financial constraints of banks can lead to disastrous banking panics. We find that a higher probability of a banking panic increases macroeconomic uncertainty. Vice versa, a shock to macroeconomic uncertainty increases the likelihood of a banking panic. This banking panic channel amplifies the macroeconomic effects of uncertainty shocks. A countercyclical capital buffer increases welfare by reducing the likelihood of a banking panic.
银行业恐慌风险与宏观经济不确定性
我们探讨了银行业恐慌与不确定性冲击之间的相互作用。为此,我们建立了一个包含银行业的生产经济模型。在该模型中,银行的财务约束会导致灾难性的银行业恐慌。我们发现,银行业恐慌发生的概率越高,宏观经济的不确定性就越大。反之亦然,对宏观经济不确定性的冲击会增加银行业恐慌的可能性。这种银行业恐慌渠道放大了不确定性冲击对宏观经济的影响。反周期资本缓冲通过降低银行业恐慌的可能性来增加福利。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
2.90
自引率
6.70%
发文量
98
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