| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14427 |
| DP14427 Twin Default Crises | |
| Caterina Mendicino; Kalin Nikolov; Juan Francisco Rubio-Ramírez; Javier Suarez; Dominik Supera | |
| 发表日期 | 2020-02-21 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited upside but significant downside risk. The asymmetric distribution of these returns and their implications for the evolution of bank net worth are important for capturing the frequency and severity of twin default crises -simultaneous rises in firm and bank defaults associated with sizeable negative effects on economic activity. As a result, our model implies higher optimal capital requirements than common specifications of bank asset returns, which neglect or underestimate the impact of borrower default on bank solvency. |
| 主题 | Financial Economics ; Monetary Economics and Fluctuations |
| 关键词 | Default risk Loan returns Non-diversifiable risk Bank fragility Capital requirements |
| URL | https://cepr.org/publications/dp14427-0 |
| 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/543322 |
| 推荐引用方式 GB/T 7714 | Caterina Mendicino,Kalin Nikolov,Juan Francisco Rubio-Ramírez,et al. DP14427 Twin Default Crises. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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