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dc.contributor.authorTeglio, Andrea
dc.contributor.authorRaberto, Marco
dc.contributor.authorCincotti, Silvano
dc.date.accessioned2012-10-24T12:28:22Z
dc.date.available2012-10-24T12:28:22Z
dc.date.issued2011
dc.identifier.issn0075-8442
dc.identifier.urihttp://hdl.handle.net/10234/49979
dc.description.abstractThe macroeconomic implications of capital requirement for banks have drawn remarkable attention after the financial crisis started in 2007. In particular, a considerable effort has been devoted by the scientific community and by the central banks in order to understand the effects of different capital requirements on long term growth. This paper aims to contribute to the debate, proposing an analysis based on an agent-based macroeconomic model, i.e., the Eurace model, that takes into account the complex pattern of interactions among different economic agents in a realistic and complete way. The institutional setting considered in the computational experiment consists in varying the allowed leverage ratio for commercial banks, i.e. the ratio between the value of the loan portfolio held by banks, weighted with a measure of the loan riskiness, and the banks net worth or equity, along the lines of capital adequacy ratios set by the Basel II agreement. The outcomes of the analysis show that bank’s capital requirement affects both the level of output and the output variability. In particular, limiting bank leverage by means of stricter capital requirements has a negative impact on output in short term that fades if the medium term and disappears in a long run scenario characterized by higher GDP levels.ca_CA
dc.format.extent12 p.ca_CA
dc.language.isoengca_CA
dc.publisherSpringer-Verlagca_CA
dc.relation.isPartOfLecture Notes in Economics and Mathematical Systems (2011), vol. 652, 41-52ca_CA
dc.rights© Springer-Verlagca_CA
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/*
dc.subjectCapital requirementsca_CA
dc.subjectLong term growthca_CA
dc.subjectMacroeconomic modelca_CA
dc.titleDo capital requirements affect long-run output trends?ca_CA
dc.typeinfo:eu-repo/semantics/bookPartca_CA
dc.identifier.doihttp://dx.doi.org/10.1007/978-3-642-21108-9_4
dc.rights.accessRightsinfo:eu-repo/semantics/restrictedAccessca_CA
dc.relation.publisherVersionhttp://link.springer.com/chapter/10.1007/978-3-642-21108-9_4ca_CA


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