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- W2101585221 abstract "The recent .nancial crisis has highlighted the limits of the “originate to distribute“ model of banking, but its nexus with the macroeconomy and monetary policy remains unexplored. I build a DSGE model with banks (along the lines of Holmstrom and Tirole [28] and Parlour and Plantin [39]) and examine its properties with and without active secondary markets for credit risk transfer. The possibility of transferring credit reduces the impact of liquidity shocks on bank balance sheets, but also reduces the bank incentive to monitor. As a result, secondary markets allow to release bank capital and exacerbate the effect of productivity and other macroeconomic shocks on output and in.ation. By offering a possibility of capital recycling and by reducing bank monitoring, secondary credit markets in general equilibrium allow banks to take on more risk." @default.
- W2101585221 created "2016-06-24" @default.
- W2101585221 creator A5006984607 @default.
- W2101585221 date "2011-01-01" @default.
- W2101585221 modified "2023-09-27" @default.
- W2101585221 title "Credit risk transfers and the macroeconomy" @default.
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