연구정보
[경제] Financial drivers of the euro area business cycle: a DSGE-based approach
중동부유럽 일반 국외연구자료 연구보고서 - European Central Bank 발간일 : 2020-10-05 등록일 : 2020-10-16 원문링크
We estimate a modified version of the “Financial Business Cycles” model originally developed by Iacoviello (2015) in order to investigate the role played by financial factors in driving the business cycle in the euro area. In the model, financial shocks such as borrower defaults, collateral shocks and credit supply effects amplify economic downturns by reducing the flow of credit from banks to the real sector. In this novel application to the euro area, we introduce capital reallocation inefficiency, an innovation to the original set-up which allows for more realistic effects of entrepreneur defaults on economic activity. Our results suggest that financial factors, as captured by this model, played a smaller role in the euro area throughout the double-dip recession than in the United States during the 2008-09 global financial crisis. In a scenario on second-round effects implied by potential NFC loan losses due to the COVID-19 pandemic, we find large financial amplification risks to real economic activity.
본 페이지에 등재된 자료는 운영기관(KIEP) 및 EMERiCs의 공식적인 입장을 대변하고 있지 않습니다.
이전글 | [경제] 코로나19 위기에 대응한 ECB 통화정책의 효과 | 2020-10-16 |
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다음글 | [정책] The effect of macroprudential policies on credit developments in Europe 199... | 2020-10-16 |