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dc.contributor.authorBLUWSTEIN, Kristina
dc.date.accessioned2018-01-12T08:08:18Z
dc.date.available2018-01-12T08:08:18Z
dc.date.issued2017
dc.identifier.urihttps://hdl.handle.net/1814/50064
dc.descriptionPublished online: 21 February 2017en
dc.description.abstractThe 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less procyclical than financial busts. To identify the sources of asymmetry, I estimate a non-linear DSGE model with a heterogeneous banking sector and an occasionally binding borrowing constraint. The model matches the key features of the data and shows that the borrowers’ balance sheet channel accounts for the asymmetry in the macro-financial linkages. The muted macro-financial transmission during financial booms can be exploited for macroprudential policies. By comparing capital buffer rules with monetary policy ‘leaningagainst-the-wind’ rules, I find that countercyclical capital buffers improve welfare.en
dc.language.isoenen
dc.relation.ispartofseriesSveriges Riksbank Working Paper Seriesen
dc.relation.ispartofseries2017/337en
dc.relation.isreplacedbyhttp://hdl.handle.net/1814/49990
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subjectMacro-financial linkagesen
dc.subjectNon-linearitiesen
dc.subjectMarkov-switching VARen
dc.subjectCredit channelen
dc.subjectOccasionally binding constraintsen
dc.subjectE44en
dc.subjectE58en
dc.subjectE52en
dc.titleAsymmetric macro-financial spilloversen
dc.typeWorking Paperen


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