The Volatility Costs of Procyclical Lending Standards : An Assessment Using a Dsge Model /

The Volatility Costs of Procyclical Lending Standards : An Assessment Using a Dsge Model /

The 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 beha...

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Bibliografiska uppgifter
Huvudupphovsman: Sgherri, Silvia
Övriga upphovsmän: Gruss, Bertrand
Materialtyp: Tidskrift
Språk:English
Publicerad: Washington, D.C. : International Monetary Fund, 2009.
Serie:IMF Working Papers; Working Paper ; No. 2009/035
Länkar:Full text available on IMF
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245 1 4 |a The Volatility Costs of Procyclical Lending Standards :   |b An Assessment Using a Dsge Model /  |c Silvia Sgherri, Bertrand Gruss. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2009. 
300 |a 1 online resource (37 pages) 
490 1 |a IMF Working Papers 
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500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
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520 3 |a The 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. 
538 |a Mode of access: Internet 
700 1 |a Gruss, Bertrand. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2009/035 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2009/035/001.2009.issue-035-en.xml  |z IMF e-Library 

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