Войти

Monetary Shocks and the Cyclical Behavior of Loan Spreads (Agenor P.-R., Bratsiotis G., Pfajfar D.)

Interest Rates

Abstract This paper examines the impact of monetary shocks on the loan spread in a DSGE model that combines the cost channel effect of monetary transmission with the role of collateral under asymmetric information. Its key feature is the endogenous derivation of the default probability that results in a lending rate being set as a countercyclical risk premium over the cost of borrowing from the central bank. The endogenous probability of default is shown to provide an accelerator effect through which monetary shocks can amplify the loan spread The behavior of the spread appears to be consistent with existing empirical evidence.
External link Download
Libref/ Agenor P.-R., Bratsiotis G., Pfajfar D. (2011) "Monetary Shocks and the Cyclical Behavior of Loan Spreads", Centre for Growth and Business Cycle Research Discussion Paper No. 156, pp. 1 - 29
© Программирование — Александр Красильников, 2008
    Дизайн — переработанная версия стартовой страницы ГУ–ВШЭ.