LEADER 06872oam 22014894 450 001 9910826451103321 005 20240402050934.0 010 $a1-4623-4871-8 010 $a1-4527-4099-2 010 $a1-282-84257-9 010 $a1-4518-7182-1 010 $a9786612842573 035 $a(CKB)3170000000055195 035 $a(EBL)1608160 035 $a(SSID)ssj0000939945 035 $a(PQKBManifestationID)11600607 035 $a(PQKBTitleCode)TC0000939945 035 $a(PQKBWorkID)10939160 035 $a(PQKB)11115895 035 $a(OCoLC)469097850 035 $a(MiAaPQ)EBC1608160 035 $a(IMF)WPIEE2009035 035 $a(EXLCZ)993170000000055195 100 $a20020129d2009 uf 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt 182 $cc 183 $acr 200 14$aThe Volatility Costs of Procyclical Lending Standards : $eAn Assessment Using a Dsge Model /$fSilvia Sgherri, Bertrand Gruss 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2009. 215 $a1 online resource (39 p.) 225 1 $aIMF Working Papers 300 $aDescription based upon print version of record. 311 $a1-4519-1618-3 320 $aIncludes bibliographical references. 327 $aContents; 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 Shocks 327 $a3. 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 Levels 327 $a9. 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 Analysis 330 3 $aThe ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the behavior of banks? capital buffers. This paper uses a two-country DSGE model with financial frictions to illustrate how procyclicality in borrowing limits reinforces the ?overreaction? of asset prices to shocks described by Aiyagari and Gertler (1999), and to quantify the stabilization gains from policies aimed at smoothing cyclical swings in credit conditions. Results suggest that, in financially constrained economies, the ensuing volatility reduction in equity prices, investment, and external imbalances would be sizable. In the presence of cross-border spillovers, gains would be even higher. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2009/035 606 $aCredit control$xMathematical models 606 $aLoans$xStandards$xMathematical models 606 $aInvestments: Stocks$2imf 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aIndustries: Financial Services$2imf 606 $aBusiness Fluctuations$2imf 606 $aCycles$2imf 606 $aInternational Policy Coordination and Transmission$2imf 606 $aPension Funds$2imf 606 $aNon-bank Financial Institutions$2imf 606 $aFinancial Instruments$2imf 606 $aInstitutional Investors$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMacroeconomics: Consumption$2imf 606 $aSaving$2imf 606 $aWealth$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aInvestment & securities$2imf 606 $aMonetary economics$2imf 606 $aFinance$2imf 606 $aStocks$2imf 606 $aCredit$2imf 606 $aConsumption$2imf 606 $aCollateral$2imf 606 $aAsset prices$2imf 606 $aFinancial institutions$2imf 606 $aMoney$2imf 606 $aNational accounts$2imf 606 $aPrices$2imf 606 $aEconomics$2imf 606 $aLoans$2imf 607 $aEstonia, Republic of$2imf 615 0$aCredit control$xMathematical models. 615 0$aLoans$xStandards$xMathematical models. 615 7$aInvestments: Stocks 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aIndustries: Financial Services 615 7$aBusiness Fluctuations 615 7$aCycles 615 7$aInternational Policy Coordination and Transmission 615 7$aPension Funds 615 7$aNon-bank Financial Institutions 615 7$aFinancial Instruments 615 7$aInstitutional Investors 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMacroeconomics: Consumption 615 7$aSaving 615 7$aWealth 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aInvestment & securities 615 7$aMonetary economics 615 7$aFinance 615 7$aStocks 615 7$aCredit 615 7$aConsumption 615 7$aCollateral 615 7$aAsset prices 615 7$aFinancial institutions 615 7$aMoney 615 7$aNational accounts 615 7$aPrices 615 7$aEconomics 615 7$aLoans 676 $a338.9669 700 $aSgherri$b Silvia$01657742 701 $aGruss$b Bertrand$01151118 801 0$bDcWaIMF 906 $aBOOK 912 $a9910826451103321 996 $aThe Volatility Costs of Procyclical Lending Standards$94011318 997 $aUNINA