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Record Nr. |
UNINA9910788342803321 |
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Autore |
Valencia Fabian |
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Titolo |
Banks’ Precautionary Capital and Persistent Credit Crunches / / Fabian Valencia |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2008 |
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ISBN |
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1-4623-5881-0 |
1-4527-4907-8 |
9786612841996 |
1-4518-7106-6 |
1-282-84199-8 |
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Descrizione fisica |
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1 online resource (37 p.) |
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Collana |
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IMF Working Papers |
IMF working paper ; ; WP/08/248 |
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Disciplina |
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Soggetti |
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Financial crises - United States - Econometric models |
Bank capital - United States - Econometric models |
Bank failures - United States - Econometric models |
Credit - United States - Econometric models |
Risk - United States - Econometric models |
Banks and Banking |
Finance: General |
Money and Monetary Policy |
Industries: Financial Services |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Bankruptcy |
Liquidation |
Banking |
Monetary economics |
Finance |
Credit |
Bank credit |
Solvency |
Loans |
Banks and banking |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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Contents; I. Introduction; II. Banks and the Real Economy; III. The Model; A. The Loan Contract; B. The Bank's Optimization Problem; C. Solution; D. Risk and the Target Level of Solvency; IV. Quantitative Experiments; V. Bank Recapitalization; VI. Conclusions; Figures; 1. Bank Credit as Percentage of GDP, Selected Countries; 2. Optimal Policy Functions; 3. Target Level of Solvency; 4. Responses to a Negative Transitory Productivity Shock; 5. Responses to an Interest Rate Increase; 6. Responses to a Large Negative Shock, With and Without Recapitalization |
7. Credit Crunch Severity and Bank Recapitalization Tables; 1. Bank's Sequence of Events; 2. Public Recapitalization Costs for Selected Crises Episodes; 3. Sensitivity Analysis to a 2-σ Productivity Shock; 4. Bank's Solvency Regions; Appendix; 8. Deposit Interest Rate; References |
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Sommario/riassunto |
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Periods of banking distress are often followed by sizable and long-lasting contractions in bank credit. They may be explained by a declined demand by financially impaired borrowers (the conventional financial accelerator) or by lower supply by capital-constrained banks, a "credit crunch". This paper develops a bank model to study credit crunches and their real effects. In this model, banks maintain a precautionary level of capital that serves as a smoothing mechanism to avert disruptions in the supply of credit when hit by small shocks. However, for larger shocks, highly persistent credit crunches may arise even when the impulse is a one time, non-serially correlated event. From a policy perspective, the model justifies the use of public funds to recapitalize banks following a significant deterioration in their capital position. |
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