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The volatility costs of procyclical lending standards [[electronic resource] ] : an assessment using a DSGE model / / prepared by Bertrand Gruss and Silvia Sgherri
| The volatility costs of procyclical lending standards [[electronic resource] ] : an assessment using a DSGE model / / prepared by Bertrand Gruss and Silvia Sgherri |
| Autore | Gruss Bertrand |
| Pubbl/distr/stampa | [Washington D.C.], : International Monetary Fund, 2009 |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 338.9669 |
| Altri autori (Persone) | SgherriSilvia |
| Collana | IMF working paper |
| Soggetto topico |
Credit control - Mathematical models
Loans - Standards - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-4871-8
1-4527-4099-2 1-282-84257-9 1-4518-7182-1 9786612842573 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Shocks
3. 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 9. 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 |
| Record Nr. | UNINA-9910464064003321 |
Gruss Bertrand
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| [Washington D.C.], : International Monetary Fund, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Volatility Costs of Procyclical Lending Standards : : An Assessment Using a Dsge Model / / Silvia Sgherri, Bertrand Gruss
| The Volatility Costs of Procyclical Lending Standards : : An Assessment Using a Dsge Model / / Silvia Sgherri, Bertrand Gruss |
| Autore | Sgherri Silvia |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 338.9669 |
| Altri autori (Persone) | GrussBertrand |
| Collana | IMF Working Papers |
| Soggetto topico |
Credit control - Mathematical models
Loans - Standards - Mathematical models Investments: Stocks Macroeconomics Money and Monetary Policy Industries: Financial Services Business Fluctuations Cycles International Policy Coordination and Transmission Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary Policy, Central Banking, and the Supply of Money and Credit: General Macroeconomics: Consumption Saving Wealth Banks Depository Institutions Micro Finance Institutions Mortgages Price Level Inflation Deflation Investment & securities Monetary economics Finance Stocks Credit Consumption Collateral Asset prices Financial institutions Money National accounts Prices Economics Loans |
| ISBN |
1-4623-4871-8
1-4527-4099-2 1-282-84257-9 1-4518-7182-1 9786612842573 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
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 Shocks
3. 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 9. 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 |
| Record Nr. | UNINA-9910788347803321 |
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Sgherri Silvia
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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