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SUMMARY:Capital Regulation in a Macroeconomic Model with Three Layers of D
 efault - Clerc\, L (Banque de France)
DTSTART:20141217T090000Z
DTEND:20141217T094500Z
UID:TALK56671@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:Co-authors: Alexis Derviz (Czech National Bank)\, Caterina Men
 dicino (Banco de Portugal)\, Stephane Moyen (Deutsche Bundesbank)\, Kalin 
 Nikolov (ECB)\, Livio Stracca (ECB)\, Javier Suarez (CEPR)\, Alexandros V
 ardoulakis (Federal Reserve Board of Governors\,)\, () \n\nWe develop a mo
 del which aims at providing a framework for the positive and normative ana
 lysis of macroprudential policies. The basic model incorporates optimizing
  financial intermediaries (bankers) who allocate their scarce wealth (insi
 de equity) together with funds raised from saving households across two le
 nding activities\, mort- gage lending and corporate lending. External fina
 ncing for all borrowers (including banks) takes the form of external debt 
 which is subject to default risk. The model shows the interplay of three i
 nterconnected net worth channels as well as distortions due to deposit ins
 urance\, and can be extended to analyse the implications of securitization
  and liquidity risk. The setup allows an explicit welfare analysis of macr
 oprudential policies.\n
LOCATION:Seminar Room 1\, Newton Institute
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