具有三层违约的宏观经济模型中的资本监管

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2014-12-01 DOI:10.2139/SSRN.2544607

Laurent Clerc, A. Derviz, Caterina Mendicino, Caterina Mendicino, Stéphane Moyen, Kalin Nikolov, Livio Stracca, Javier Suarez, Javier Suarez, Alexandros P. Vardoulakis

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引用次数: 73

摘要

我们建立了一个动态一般均衡模型，用于宏观审慎政策的积极和规范分析。优化的金融中介机构将其稀缺的净值与从储蓄家庭筹集的资金一起分配给两种贷款活动，即抵押贷款和企业贷款。对于所有借款人(家庭、企业和银行)来说，外部融资采取的是债务形式，而债务存在违约风险。这个“3D模型”显示了导致金融放大的三个相互关联的净值渠道与存款保险造成的扭曲之间的相互作用。我们将其应用于资本监管的分析。

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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Capital Regulation in a Macroeconomic Model with Three Layers of Default

We develop a dynamic general equilibrium model for the positive and normative analysis of macroprudential policies. Optimizing financial intermediaries allocate their scarce net worth together with funds raised from saving households across two lending activities, mortgage and corporate lending. For all borrowers (households, firms, and banks) external financing takes the form of debt which is subject to default risk. This “3D model” shows the interplay between three interconnected net worth channels that cause financial amplification and the distortions due to deposit insurance. We apply it to the analysis of capital regulation.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.