Implications on Households of Bank's Asset Substitution
AbstractIn this paper we develop a DSGE model to analyze the welfare implications over households that bank's asset recomposition might have. We model a representative bank that potentially faces liquidity dificulties due to a mismatch between credits issued to firms and deposits supplied by households. This bank has a portfolio consisting of loans and bonds. The results show that positive liquidity shocks, driven by changes in the household preferences, affect the bank's asset allocation decisions and are beneficial to households. Similarly, when the bond's return rate increases, there is a substitution effect that lowers the loan to bond ratio, but despite this, the bank's intermediation activity increases inducing a positive effect over the household's welfare.
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bank asset recomposition; DSGE model with banking sector; loans deposit mismatch; liquidity shock Classification JEL: D58; E32; E44.;
Find related papers by JEL classification:
- liq - - - - - -
- sho - - - - - -
- Cla - Mathematical and Quantitative Methods - - - - -
- JEL - Labor and Demographic Economics - - - - -
- D58 - Microeconomics - - General Equilibrium and Disequilibrium - - - Computable and Other Applied General Equilibrium Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Agustín Saade Ospina & David Pérez-Reyna, . "Cambios en los incentivos de los bancos como consecuencia de modificaciones en los esquemas de encaje," Temas de Estabilidad Financiera 041, Banco de la Republica de Colombia.
- Javier Diaz-Gimenez & Edward C. Prescott & Terry Fitzgerald & Fernando Alvarez, 1992.
"Banking in computable general equilibrium economies,"
153, Federal Reserve Bank of Minneapolis.
- Diaz-Gimenez, Javier & Prescott, Edward C. & Fitzgerald, Terry & Alvarez, Fernando, 1992. "Banking in computable general equilibrium economies," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 533-559.
- Díaz-Giménez, Javier & Prescott, Edward C. & Álvarez, Fernando & Fitzgerald, Terry, . "Banking in Computable General Equilibrium Economies," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4969, Universidad Carlos III de Madrid.
- Adriana María Corredor-Waldron & David Pérez-Reyna, . "El mercado de crédito comercial y las restricciones de endeudamiento en Colombia," Temas de Estabilidad Financiera 042, Banco de la Republica de Colombia.
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