07071oam 22015734 450 991096112400332120250426110041.0978661284257397814623487181462348718978145274099714527409929781282842571128284257997814518718211451871821(CKB)3170000000055195(EBL)1608160(SSID)ssj0000939945(PQKBManifestationID)11600607(PQKBTitleCode)TC0000939945(PQKBWorkID)10939160(PQKB)11115895(OCoLC)469097850(IMF)WPIEE2009035(MiAaPQ)EBC1608160(IMF)WPIEA2009035WPIEA2009035(EXLCZ)99317000000005519520020129d2009 uf 0engurcn|||||||||txtccrThe Volatility Costs of Procyclical Lending Standards : An Assessment Using a Dsge Model /Silvia Sgherri, Bertrand Gruss1st ed.Washington, D.C. :International Monetary Fund,2009.1 online resource (39 p.)IMF Working PapersDescription based upon print version of record.9781451916188 1451916183 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 policies aimed at smoothing cyclical swings in credit conditions. Results suggest that, in financially constrained economies, the ensuing volatility reduction in equity prices, investment, and external imbalances would be sizable. In the presence of cross-border spillovers, gains would be even higher.IMF Working Papers; Working Paper ;No. 2009/035Credit controlMathematical modelsLoansStandardsMathematical modelsAsset pricesimfBanksimfBusiness FluctuationsimfCollateralimfConsumptionimfCreditimfCyclesimfDeflationimfDepository InstitutionsimfEconomicsimfFinanceimfFinancial institutionsimfFinancial InstrumentsimfIndustries: Financial ServicesimfInflationimfInstitutional InvestorsimfInternational Policy Coordination and TransmissionimfInvestment & securitiesimfInvestments: StocksimfLoansimfMacroeconomicsimfMacroeconomics: ConsumptionimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfMortgagesimfNational accountsimfNon-bank Financial InstitutionsimfPension FundsimfPrice LevelimfPricesimfSavingimfStocksimfWealthimfEstonia, Republic ofimfCredit controlMathematical models.LoansStandardsMathematical models.Asset pricesBanksBusiness FluctuationsCollateralConsumptionCreditCyclesDeflationDepository InstitutionsEconomicsFinanceFinancial institutionsFinancial InstrumentsIndustries: Financial ServicesInflationInstitutional InvestorsInternational Policy Coordination and TransmissionInvestment & securitiesInvestments: StocksLoansMacroeconomicsMacroeconomics: ConsumptionMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyMortgagesNational accountsNon-bank Financial InstitutionsPension FundsPrice LevelPricesSavingStocksWealth338.9669Sgherri Silvia1815869Gruss Bertrand1151118DcWaIMFBOOK9910961124003321The Volatility Costs of Procyclical Lending Standards4371703UNINA