Bank capital shortfall in the euro area
| Autor: | Eric Jondeau, Jean-Guillaume Sahuc |
|---|---|
| Přispěvatelé: | EconomiX, Université Paris Nanterre (UPN)-Centre National de la Recherche Scientifique (CNRS) |
| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Journal of Financial Stability Journal of Financial Stability, 2022, 62 |
| ISSN: | 1572-3089 |
| DOI: | 10.1016/j.jfs.2022.101070 |
| Popis: | We quantify the bank capital shortfall that results from a financial crisis by estimating a macro-finance dynamic stochastic general equilibrium model that captures the interactions between the financial and real sectors of the euro-area economy. The introduction of both deposit and shadow banks captures several characteristics of the banking system and reveals a financial amplification mechanism. By using a combination of a large positive risk shock and a large negative investment shock, we show that a crisis similar to that observed in 2008 would generate a bank capital shortfall between 2.2% and 3% of euro-area GDP, which corresponds to approximately 207–282 billion euros. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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