A Quantitative Model of Banking Industry Dynamics
Abstractbusiness cycles, and borrower default frequencies. The model is parameterized to match a set of key aggregate and cross-sectional statistics for the U.S. banking industry. As in the data, the model generates countercyclical interest rates on loans, bank failure rates, borrower default frequencies, and charge-off rates as well as a procyclical loan supply and entry rates. The model can be used to study bank competition and the benefits/costs of policies to subsidize/mitigate bank entry/exit.
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Bibliographic InfoPaper provided by Society for Economic Dynamics in its series 2010 Meeting Papers with number 268.
Date of creation: 2010
Date of revision:
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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Web page: http://www.EconomicDynamics.org/society.htm
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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.:
- Hubert P. Janicki & Edward S. Prescott, 2006. "Changes in the size distribution of U.S. banks: 1960-2005," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 291-316.
- Huberto M. Ennis, 2001. "On the size distribution of banks," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 1-25.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).
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