| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10547
|
| DP10547 Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations |
| Wolf Wagner; Gert Peersman
|
| 发表日期 | 2015-04-19
|
| 出版年 | 2015
|
| 语种 | 英语
|
| 摘要 | Shocks to bank lending, risk-taking and securitization activities that are orthogonal to real economy and monetary policy innovations account for more than 30 percent of U.S. output variation. The dynamic effects, however, depend on the type of shock. Expansionary securitization shocks lead to a permanent rise in real GDP and a fall in inflation. Bank lending and risk-taking shocks, in contrast, have only a temporary effect on real GDP and tend to lead to a (moderate) rise in the price level. Furthermore, there is evidence for a strong search-for-yield effect on the side of investors in the transmission mechanism of monetary policy. These effects are estimated with a structural VAR model, where the shocks are identified using a model of bank risk-taking and securitization. |
| 主题 | Financial Economics
; International Macroeconomics
|
| 关键词 | Bank lending
Risk taking
Securitization
Svars
|
| URL | https://cepr.org/publications/dp10547
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539379
|
推荐引用方式
GB/T 7714 |
Wolf Wagner,Gert Peersman. DP10547 Shocks to Bank Lending, Risk-Taking, Securitization, and their Role for U.S. Business Cycle Fluctuations. 2015.
|
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