June 2015

Macroeconomic Effects of Banking Sector Losses across Structural Models

Luca Guerrieri, Matteo Iacoviello, Francisco B. Covas, John C. Driscoll, Michael T. Kiley, Mohammad Jahan-Parvar, Albert Queralto Olive, and Jae W. Sim


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.

Accessible materials (.zip)

Keywords: Bank losses, banks, capital requirements, DSGE models

DOI: http://dx.doi.org/10.17016/FEDS.2015.044

PDF: Full Paper

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Last Update: June 19, 2020