Global banks, financial shocks and international business cycles: evidence from an estimated model
| Title: | Global banks, financial shocks and international business cycles: evidence from an estimated model |
|---|---|
| Authors: | Robert Kollmann; Jel Codes F |
| Contributors: | The Pennsylvania State University CiteSeerX Archives |
| Source: | http://www.dallasfed.org/assets/documents/institute/wpapers/2012/0120.pdf. |
| Publication Year: | 2013 |
| Collection: | CiteSeerX |
| Description: | This paper estimates a two-country model with a global bank, using US and Euro Area (EA) data, and Bayesian methods. The estimated model matches key US and EA business cycle statistics. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for US real activity. During the Great Recession (2007-09), banking shocks accounted for about 20 % of the fall in US and EA GDP, and for more than half of the fall in EA investment and employment. |
| Document Type: | text |
| File Description: | application/pdf |
| Language: | English |
| Relation: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.637.1939; http://www.dallasfed.org/assets/documents/institute/wpapers/2012/0120.pdf |
| Availability: | http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.637.1939; http://www.dallasfed.org/assets/documents/institute/wpapers/2012/0120.pdf |
| Rights: | Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
| Accession Number: | edsbas.A05A7CC9 |
| Database: | BASE |