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dc.contributor.authorFaia, Esteren
dc.date.accessioned2011-02-03-
dc.date.accessioned2011-06-24T12:48:20Z-
dc.date.available2011-06-24T12:48:20Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/45866-
dc.description.abstractThe recent financial 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 Holmström 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.en
dc.language.isoengen
dc.publisher|aKiel Institute for the World Economy (IfW) |cKielen
dc.relation.ispartofseries|aKiel Working Paper |x1677en
dc.subject.jelE3en
dc.subject.jelE5en
dc.subject.jelG3en
dc.subject.ddc330en
dc.subject.keywordCredit risk transferen
dc.subject.keyworddual moral hazarden
dc.subject.keywordmonetary policyen
dc.subject.keywordliquidityen
dc.subject.keywordwelfareen
dc.subject.stwKreditrisikoen
dc.subject.stwSekundärmarkten
dc.subject.stwDynamisches Gleichgewichten
dc.subject.stwMoral Hazarden
dc.subject.stwGeldpolitiken
dc.subject.stwGesamtwirtschaftliche Liquiditäten
dc.subject.stwTheorieen
dc.titleCredit risk transfers and the macroeconomy-
dc.typeWorking Paperen
dc.identifier.ppn645187038en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:ifwkwp:1677en

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