University of Cambridge > > Isaac Newton Institute Seminar Series > Capital Regulation in a Macroeconomic Model with Three Layers of Default

Capital Regulation in a Macroeconomic Model with Three Layers of Default

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

Co-authors: Alexis Derviz (Czech National Bank), Caterina Mendicino (Banco de Portugal), Stephane Moyen (Deutsche Bundesbank), Kalin Nikolov (ECB), Livio Stracca (ECB), Javier Suarez (CEPR), Alexandros Vardoulakis (Federal Reserve Board of Governors,), ()

We develop a model which aims at providing a framework for the positive and normative analysis of macroprudential policies. The basic model incorporates optimizing financial intermediaries (bankers) who allocate their scarce wealth (inside equity) together with funds raised from saving households across two lending activities, mort- gage lending and corporate lending. External financing for all borrowers (including banks) takes the form of external debt which is subject to default risk. The model shows the interplay of three interconnected net worth channels as well as distortions due to deposit insurance, and can be extended to analyse the implications of securitization and liquidity risk. The setup allows an explicit welfare analysis of macroprudential policies.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.


© 2006-2023, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity