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Bank capital structure and the credit channel of central bank asset purchases

Author

Listed:
  • Kok, Christoffer
  • Darracq Pariès, Matthieu
  • Hałaj, Grzegorz

Abstract

With the aim of reigniting inflation in the euro area, in early 2015 the ECB embarked on a large-scale asset purchase programme. We analyse the macroeconomic effects of the Asset Purchase Programme via the banking system, exploiting the cross-section of individual bank portfolio decisions. For this purpose, an augmented version of the DSGE model of Gertler and Karadi (2013), featuring a segmented banking sector, is estimated for the euro area and combined with a bank portfolio optimisation approach using granular bank level data. An important feature of our modelling approach is that it captures the heterogeneity of banks JEL Classification: C61, E52, G11

Suggested Citation

  • Kok, Christoffer & Darracq Pariès, Matthieu & Hałaj, Grzegorz, 2016. "Bank capital structure and the credit channel of central bank asset purchases," Working Paper Series 1916, European Central Bank.
  • Handle: RePEc:ecb:ecbwps:20161916
    Note: 508948
    as

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    File URL: https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1916.en.pdf
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    References listed on IDEAS

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    Cited by:

    1. Florian Urbschat & PD Sebastian Watzka, 2017. "Quantitative Easing in the Euro Area - An Event Study Approach," CESifo Working Paper Series 6709, CESifo Group Munich.
    2. Jakob de Haan & Marco Hoeberichts & Renske Maas & Federica Teppa, 2016. "Inflation in the euro area and why it matters," DNB Occasional Studies 1403, Netherlands Central Bank, Research Department.

    More about this item

    Keywords

    banking; DSGE; portfolio optimisation; quantitative easing;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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