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Pré-publication, Document de travail Année : 2018

Banks, Sovereign Risk and Unconventional Monetary Policies

Résumé

We develop a two-country model with an explicitly microfounded interbank market and sovereign default risk. Calibrated to the core and the periphery of the Euro Area, the model gives rise to a debt-banks-credit loop that substantially amplifies the effects of financial shocks, especially for the periphery. We use the model to investigate the effects of a stylized public asset purchase program at the steady state and during a crisis. We find that it is more effective in stimulating the economy during a crisis, in particular for the periphery.
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Dates et versions

halshs-01942734, version 1 (03-12-2018)

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  • HAL Id : halshs-01942734 , version 1

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Stéphane Auray, Aurélien Eyquem, Xiaofei Ma. Banks, Sovereign Risk and Unconventional Monetary Policies. 2018. ⟨halshs-01942734⟩
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