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Credit and Banking in a DSGE model

  • Stefano NERI

    (Bank of Italy)

  • Luca SESSA

    (Bank of Italy)

  • Federico SIGNORETTI

    (Bank of Italy)

  • Andrea GERALI

    (Bank of Italy)

euro area banking rates, this attenuator effect can be sizeable but short-lived. The model also allows analyzing the consequences of a tightening of credit conditions that reduces the supply of credit and increases banks' interest rates independently of monetary policy. In such a scenario, the greatest contribution to the negative effects on output components comes from spillovers from the tightening on firms.

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Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 586.

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Date of creation: 2009
Date of revision:
Handle: RePEc:red:sed009:586
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Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA

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  1. Marvin Goodfriend & Bennett T. McCallum, 2007. "Banking and interest rates in monetary policy analysis: a quantitative exploration," Proceedings, Federal Reserve Bank of San Francisco.
  2. John Moore & Nobuhiro Kiyotaki, . "Credit Cycles," Discussion Papers 1995-5, Edinburgh School of Economics, University of Edinburgh.
  3. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2001. "Nominal rigidities and the dynamic effects of a shock to monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  4. Cúrdia, Vasco & Woodford, Michael, 2015. "Credit Frictions and Optimal Monetary Policy," CEPR Discussion Papers 11016, C.E.P.R. Discussion Papers.
  5. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University.
  6. Gabe J. de Bondt, 2005. "Interest Rate Pass-Through: Empirical Results for the Euro Area," German Economic Review, Verein für Socialpolitik, vol. 6(1), pages 37-78, 02.
  7. Matteo Iacoviello, 2002. "House prices, borrowing constraints and monetary policy in the business cycle," Boston College Working Papers in Economics 542, Boston College Department of Economics, revised 06 Dec 2004.
  8. Matteo Iacoviello & Stefano Neri, 2010. "Housing Market Spillovers: Evidence from an Estimated DSGE Model," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(2), pages 125-64, April.
  9. Carlstrom, Charles T & Fuerst, Timothy S, 1997. "Agency Costs, Net Worth, and Business Fluctuations: A Computable General Equilibrium Analysis," American Economic Review, American Economic Association, vol. 87(5), pages 893-910, December.
  10. Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research 35, National Bank of Belgium.
  11. Aqib Aslam & Emiliano Santoro, 2008. "Bank Lending, Housing and Spreads," Discussion Papers 08-27, University of Copenhagen. Department of Economics, revised Nov 2008.
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