Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244272 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
ESRB Working Paper Series No. 120
Verlag: 
European Systemic Risk Board (ESRB), European System of Financial Supervision, Frankfurt a. M.
Zusammenfassung: 
What are the quantitative macroeconomic effects of the countercyclical capital buffer (CCyB)? I study this question in a nonlinear DSGE model with occasional financial crises, which is calibrated and combined with US data to estimate sequences of structural shocks. Raising capital buffers during leverage expansions can reduce the frequency of crises by more than half. A quantitative application to the 2007-08 financial crisis shows that the CCyB in the 2:5% range (as in the Federal Reserve's current framework) could have greatly mitigated the financial panic of 2008, for a cumulative gain of 29% in aggregate consumption. The threat of raising capital requirements is effective even if this tool is not used in equilibrium.
Schlagwörter: 
countercyclical capital buffer
nancial crises
macroprudential policy
JEL: 
E4
E6
G2
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-4623-0
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.69 MB





Publikationen in EconStor sind urheberrechtlich geschützt.