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Title:Mortgage defaults, expectation-driven house prices and monetary policy Author(s):BEKIROS, Stelios D.
; NILAVONGSE, Rachatar; UDDIN, Gazi S.Date:2017Type:Working PaperSeries/Number:EUI ECO; 2017/09Abstract:We contribute to the literature on dynamic stochastic general equilibrium models with housing collaterals by including shocks to house price expectations. We incorporate endogenous mortgage defaults which are rarely included ...
; NILAVONGSE, Rachatar; UDDIN, Gazi S.Date:2017Type:Working PaperSeries/Number:EUI ECO; 2017/09Abstract:We contribute to the literature on dynamic stochastic general equilibrium models with housing collaterals by including shocks to house price expectations. We incorporate endogenous mortgage defaults which are rarely included ...
Title:Implications for banking stability and welfare under capital shocks and countercyclical requirements Author(s):BEKIROS, Stelios D.; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/06Abstract:This paper incorporates anticipated and unexpected shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for ...
; NILAVONGSE, Rachatar; UDDIN, Gazi SalahDate:2017Type:Working PaperSeries/Number:EUI ECO; 2017/06Abstract:This paper incorporates anticipated and unexpected shocks to bank capital into a DSGE model with a banking sector. We apply this model to study Basel III countercyclical capital requirements and their implications for ...