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Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model (Kollmann R.)

Financial Crises Investment Banking

Abstract This paper estimates a two-country model with a global bank, using US and Euro Area (EA) data, and Bayesian methods. The estimated model matches key US and EA business cycle statistics. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for US real activity. During the Great Recession (2007-09), banking shocks accounted for about 20% of the fall in US and EA GDP, and for more than half of the fall in EA investment and employment.
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Libref/ Kollmann, Robert ( 2012). “Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model ”. ECARES, Universitй Libre de Bruxelles, CEPR and Centre for Applied Macroeconomic Analysis (CAMA), Australian National University, pp. 1-44.
© Программирование — Александр Красильников, 2008
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