The role of bank capital in the propagation of shocks

Journal of Economic Dynamics and Control

Volumn 34, Issue 3, 2010, Pages 555-576

  Meh, Césaire A ^a   Moran, Kevin ^b  

^a BANK OF CANADA   (Canada)

^b UNIVERSITÉ LAVAL   (Canada)

Author keywords

Bank capital; Capital adequacy ratio; Financial frictions; Transmission mechanism of monetary policy

Indexed keywords

EID: 77249166502     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2009.10.009     Document Type: Article

References (35)

1. Adrian, T., Shin, H.S., 2008. Liquidity, monetary policy, and financial cycles. Current Issues in Economics and Finance, Federal Reserve Bank of New York, January-February.
2. Aikman, D., Paustian, M., 2006. Bank capital, asset prices, and monetary policy. Bank of England Working Paper 305, August.
3. Berger A.N. The economic effects of technological progress: evidence from the banking industry. Journal of Money, Credit and Banking 35 (2003) 141-176
4. Bernanke B., Gertler M., and Gilchrist S. The financial accelerator in a quantitative business cycle framework. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics (1999), Elsevier Science, Amsterdam
5. Bernanke B., and Lown C.S. The credit crunch. Brookings Papers on Economic Activity 2 (1991) 205-239
6. Carlstrom C.T., and Fuerst T.S. Agency costs, net worth, and business fluctuations: a computable general equilibrium analysis. The American Economic Review 87 (1997) 893-910
7. Carlstrom C.T., and Fuerst T.S. Agency costs and business cycles. Economic Theory 12 (1998) 583-597
8. Chen N.-K. Bank net worth, asset prices, and economic activity. Journal of Monetary Economics 48 (2001) 415-436
9. Christiano L., Eichenbaum M., and Evans C. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (2005) 1-45
10. Christiano, L.J., Motto, R., Rostagno, M., 2008. Financial factors in economic fluctuations. Manuscript, October.
11. Clarida R., Gali J., and Gertler M. Monetary policy rules and macroeconomic stability: evidence and some theory. Quarterly Journal of Economics 115 (2000) 147-180
12. Cúrdia, L., Woodford, M., 2008. Credit frictions and optimal monetary policy. Manuscript, October.
13. Diamond D. Financial intermediation and delegated monitoring. Review of Economic Studies 51 (1984) 393-414
14. Dib, A., 2009. Credit and interbank markets in a New Keynesian model. Manuscript, Bank of Canada, August.
15. Erceg C.J., Henderson D., and Levin A.T. Optimal monetary policy with staggered wage and price contracts. Journal of Monetary Economics 46 (2000) 281-313
16. Erosa A. Financial intermediation and occupational choice in development. Review of Economic Dynamics 4 (2001) 304-334
17. Fisher J.D.M. The dynamic effects of neutral and investment-specific technology shocks. The American Economic Review 114 (2006) 413-451
18. Gerali, A., Neri, S., Sessa, L., Signoretti, F.M., 2009. Credit and banking in a DSGE model of the Euro area. Manuscript, Bank of Italy, May.
19. Gertler M., and Gilchrist S. Monetary policy, business cycles, and the behavior of small manufacturing firms. Quarterly Journal of Economics 109 (1994) 309-340
20. Goodfriend M., and McCallum B. Banking and interest rates in monetary policy analysis: a quantitative exploration. Journal of Monetary Economics 54 (2007) 1480-1507
21. Holmstrom B., and Tirole J. Financial intermediation, loanable funds, and the real sector. Quartely Journal of Economics 112 (1997) 663-691
22. Iacoviello M. House prices, borrowing constraints, and monetary policy in the business cycle. The American Economic Review 95 (2005) 739-764
23. Kashyap A.K., and Stein J.C. What do a million observation on banks say about the transmission of monetary policy?. The American Economic Review 90 (2000) 407-428
24. Kishan R.P., and Opiela T. Bank size, bank capital, and the bank lending channel. Journal of Money, Credit, and Banking 32 (2000) 121-141
25. Kiyotaki N., and Moore J. Credit cycles. Journal of Political Economy 105 (1997) 211-248
26. Markovic, B., 2006. Bank capital channels in the monetary transmission mechanism. Bank of England Working Paper 313, November.
27. Meh, C., Moran, K., 2004. Bank capital, agency costs, and monetary policy. Bank of Canada Working Paper No. 6.
28. Meh, C., Quadrini, V., Terajima, Y., 2009. Real effects of price stability with endogenous nominal indexation, Bank of Canada Working Paper No. 2009-16.
29. Peek J., and Rosengren E.S. The international transmission of financial shocks: the case of Japan. The American Economic Review 87 (1997) 495-505
30. Peek J., and Rosengren E.S. Collateral damage: effects of the Japanese bank crisis on real activity in the United States. The American Economic Review 90 (2000) 30-45
31. Smets F., and Wouters R. Shocks and frictions in US business cycles: a Bayesian DSGE approach. The American Economic Review 97 (2007) 586-606
32. Van den Heuvel, S.J., 2002. Banking conditions and the effects of monetary policy: evidence from U.S. states. Manuscript, Wharton School, January.
33. Van den Heuvel, S.J., 2007. Do monetary policy effects on bank lending depend on bank capitalization? Manuscript, Wharton School, September.
34. Van den Heuvel S.J. The welfare costs of bank capital requirements. Journal of Monetary Economics 55 (2008) 298-320
35. Williamson S. Financial intermediation, business failures, and real business cycles. Journal of Political Economy 95 (1987) 1196-1216