Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311054 
Authors: 
Year of Publication: 
2023
Citation: 
[Journal:] International Economics and Economic Policy [ISSN:] 1612-4812 [Volume:] 20 [Issue:] 4 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 509-536
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
This article analyzes the effect of endogenous valuations-based capital requirements on risk-shifting in a closed economy DSGE Model. It adds to the existing literature by including concentration risk into the portfolio allocation of the commercial banks. It finds that capital requirements move procyclically, which amplifies the expansionary effect of monetary easing. The movement of the capital requirements is asymmetric, which creates a risk-shifting impulse. Sticky bank capital rents can strengthen this risk-shift.
Subjects: 
Capital requirements
Risk-shifting
Concentration risk
Monetary policy
DSGE-Model
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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