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Credit risk transfers and the macroeconomy

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  • Faia, Ester

Abstract

The recent financial crisis has highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macro-economy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmstr JEL Classification: E3, E5, G3

Suggested Citation

  • Faia, Ester, 2010. "Credit risk transfers and the macroeconomy," Working Paper Series 1256, European Central Bank.
    • Handle: RePEc:ecb:ecbwps:20101256
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    References listed on IDEAS

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    Cited by:

    1. Eleni Iliopulos & Thepthida Sopraseuth, 2012. "L'intermédiation financière dans l'analyse macroéconomique : le défi de la crise," Économie et Statistique, Programme National Persée, vol. 451(1), pages 91-130.
    2. Ignazio Angeloni, 2009. "A Tale of Two Policies- Prudential Regulation and Monetary Policy with Fragile Banks," Working Papers 345, Bruegel.
    3. Haavio, Markus & Ripatti, Antti & Takalo, Tuomas, 2016. "Saving Wall Street or main street," Bank of Finland Research Discussion Papers 12/2016, Bank of Finland.
    4. Radde, Sören, 2015. "Flight to liquidity and the Great Recession," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 192-207.
    5. repec:zbw:bofrdp:urn:nbn:fi:bof-201602101026 is not listed on IDEAS
    6. Francesco Ferrante, 2018. "A Model of Endogenous Loan Quality and the Collapse of the Shadow Banking System," American Economic Journal: Macroeconomics, American Economic Association, vol. 10(4), pages 152-201, October.
    7. Radde, Sören, 2012. "Liquidity Crises, Banking, and the Great Recession," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 65408, Verein für Socialpolitik / German Economic Association.
    8. Silvo, Aino, 2018. "Information and credit cycles: Causes and consequences of financial instability," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e52, July.
    9. Anna Grodecka-Messi, 2019. "Subprime borrowers, securitization and the transmission of business cycles," Canadian Journal of Economics, Canadian Economics Association, vol. 52(4), pages 1600-1654, November.
    10. Silvo, Aino, 2016. "The interaction of monetary and macroprudential policies in economic stabilisation," Research Discussion Papers 1/2016, Bank of Finland.
    11. repec:bof:bofrdp:urn:nbn:fi:bof-201602101026 is not listed on IDEAS
    12. repec:zbw:bofrdp:2016_001 is not listed on IDEAS
    13. Haavio, Markus & Ripatti, Antti & Takalo, Tuomas, 2016. "Saving Wall Street or main street," Research Discussion Papers 12/2016, Bank of Finland.
    14. repec:hal:psewpa:halshs-00744047 is not listed on IDEAS
    15. Emerson Abraham Jackson & Edmund Tamuke, 2022. "Credit Risk Management and the Financial Performance of Domiciled Banks in Sierra Leone: An Empirical Analysis," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 9(1), pages 139-164, January.
    16. Silvo, Aino, 2016. "The interaction of monetary and macroprudential policies in economic stabilisation," Bank of Finland Research Discussion Papers 1/2016, Bank of Finland.
    17. repec:zbw:bofrdp:2016_012 is not listed on IDEAS

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    More about this item

    Keywords

    credit risk transfer; dual moral hazard; liquidity; monetary policy; welfare;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G3 - Financial Economics - - Corporate Finance and Governance

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