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- Title
The business cycle implications of banks' maturity transformation.
- Authors
Andreasen, Martin M.; Ferman, Marcelo; Zabczyk, Pawel
- Abstract
The article illustrates the quantitative implications of transformation of maturity in dynamic stochastic general equilibrium (DSGE) models. The models are used to describe how the factors of economy are behaving and how it interacts over time to produce an economy-wide outcome. It focuses on stochastic shocks that affects productivity and nominal interest rates. It highlights the existence of a credit maturity attenuator effect.
- Subjects
BUSINESS cycles; ECONOMIC equilibrium; INTEREST rates; CREDIT; MATURITY (Finance)
- Publication
Bank of England Quarterly Bulletin, 2012, Vol 52, Issue 1, p74
- ISSN
0005-5166
- Publication type
Article