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Simple Macroeconomic Models with a Banking Sector: I

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Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

In parallel with the development of DSGE models with frictions, a series of papers have recently proposed to integrate banks within much simpler macro models. The objective is to develop simple calibrations allowing to assess in a transparent way the impact of bank capital regulation on growth and credit cycles. The aim of the tutorial is to present some of these models.

Topic 1: Capital requirements and welfare: Van den Heuvel “the Welfare Cost of Bank Capital Requirements” Journal of Monetary Economics 2007 Nguyen, “Bank Capital requirements: A quantitative analysis” Wharton School 2013 de Nicolo, Gamba and Lucchetta “Microprudential regulation in a dynamic model of banking ” IMF 2013

This talk is part of the Isaac Newton Institute Seminar Series series.

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