03939nam 2200625Ia 450 991046406400332120181027005712.01-4623-4871-81-4527-4099-21-282-84257-91-4518-7182-19786612842573(CKB)3170000000055195(EBL)1608160(SSID)ssj0000939945(PQKBManifestationID)11600607(PQKBTitleCode)TC0000939945(PQKBWorkID)10939160(PQKB)11115895(OCoLC)469097850(MiAaPQ)EBC1608160(EXLCZ)99317000000005519520041202d2009 uf 0engurcn|||||||||txtccrThe volatility costs of procyclical lending standards[electronic resource] an assessment using a DSGE model /prepared by Bertrand Gruss and Silvia Sgherri[Washington D.C.] International Monetary Fund20091 online resource (39 p.)IMF working paper ;WP/09/35Description based upon print version of record.1-4519-1618-3 Includes bibliographical references.Contents; I. Introduction; II. Empirical Evidence; III. The Model; A. Home economy; B. Foreign economy; C. Shocks; D. Equilibrium and solution method; IV. Calibration; V. Policy experiment: altering the cyclical pattern of lending standards; A. Benchmark leverage level; B. Alternative leverage levels; VI. Sensitivity analysis; VII. Conclusions; Appendix; References; Tables; 1. Results from Estimating an AR(1) Processes to Demeaned LTVs; 2. Benchmark Calibration; Figures; 1. Time Variation in Loan-To-Value Ratios; 2. Share of Output Variation Explained by Credit and Asset Price Shocks3. Degree of Cyclicality in Credit Innovations 4. Procyclicality in Credit Innovations and Sensitivity of Credit to Asset Price Shocks; 5. Procyclicality in Credit Innovations and Macroeconomic Volatility; 6. Increasing Reliance of Emerging Europe on Foreign Funding; 7. Concentration of Emerging Europe Exposure to Western Europe; 3. Business Cycle Moments from Simulated Series under Benchmark Calibration; 4. Policy Exercise Results (Average LTV = 0.4); 5. Policy Exercise Results (Average LTV = 0.7); 8. IRFs to a Negative Productivity Shock under Alternative Leverage Levels9. IRFs to a Negative Shock to Lending Standards under Alternative Leverage Levels10. Sensitivity of Volatility to Different Degrees of Cyclicality in Lending Standards Under Alternative Leverage Levels; 6. Sensitivity AnalysisThe ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the behavior of banks' capital buffers. This paper uses a two-country DSGE model with financial frictions to illustrate how procyclicality in borrowing limits reinforces the "overreaction" of asset prices to shocks described by Aiyagari and Gertler (1999), and to quantify the stabilization gains from policiesIMF working paper ;WP/09/35.Credit controlMathematical modelsLoansStandardsMathematical modelsElectronic books.Credit controlMathematical models.LoansStandardsMathematical models.338.9669Gruss Bertrand864450Sgherri Silvia864451MiAaPQMiAaPQMiAaPQBOOK9910464064003321The volatility costs of procyclical lending standards1929421UNINA