Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154324
Authors: 
Darracq Pariès, Matthieu
Jacquinot, Pascal
Papadopoulou, Niki
Year of Publication: 
2016
Series/Report no.: 
ECB Working Paper 1891
Abstract: 
The euro area experience during the financial crisis highlighted the importance of financial and sovereign risk factors in macroeconomic propagation, as well as the constraints that bank lending fragmentation would pose for monetary policy conduct in a currency union. We design a 6-region multi-country DSGE model which provides a structural interpretation of the salient features of these developments. The model spans the relevant "financial wedges" at play during the crisis, together with its cross-country heterogeneity within the euro area, focusing on Ger- many, France, Italy, Spain, and rest-of-euro area. We construct three stylised macro-financial scenarios as a synopsis of the euro area financial crisis and argue that the adverse interactions between sovereign, banking and corporate risk, can account to a large extent for the financial repression and poor economic performance observed in some parts of the euro area.
Subjects: 
bank lending rates
banking
cross-country spillovers
DSGE models
financial regulation
JEL: 
E4
E5
F4
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-2019-3
Document Type: 
Working Paper

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