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Board of Governors of the Federal Reserve System (U.S.)
Finance and Economics Discussion Series
Macroeconomic Effects of Banking Sector Losses across Structural Models
Luca Guerrieri
Matteo Iacoviello
Francisco Covas
John C. Driscoll
Michael T. Kiley
Mohammad Jahan-Parvar
Albert Queraltó
Jae W. Sim
Abstract

The macro spillover effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers "model-based confidence intervals" for the real and financial effects of shocks originating in the financial sector. The range of outcomes predicted by the five models is only slightly narrower than confidence intervals produced by simple vector autoregressions.


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Luca Guerrieri & Matteo Iacoviello & Francisco Covas & John C. Driscoll & Michael T. Kiley & Mohammad Jahan-Parvar & Albert Queraltó & Jae W. Sim, Macroeconomic Effects of Banking Sector Losses across Structural Models, Board of Governors of the Federal Reserve System (U.S.), Finance and Economics Discussion Series 2015-44, 03 Jun 2015.
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Keywords: Bank losses; banks; capital requirements; DSGE models
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