September 2019 issue contents
Macroeconomic Effects of Banking-Sector Losses across Structural Models

Luca Guerrieri, Matteo Iacoviello, Francisco Covasa, John C. Driscoll, Mohammad Jahan-Parvar, Michael Kiley, Albert Queralto, and Jae Sim
Federal Reserve Board


The macroeconomic effects of capital shortfalls in the financial intermediation sector are compared across five dynamic equilibrium models for policy analysis. Although all the models considered share antecedents and a methodological core, each model emphasizes different transmission channels. This approach delivers model-based confidence intervals for the real and financial effects of shocks originating in the financial sector. The width of 90 percent confidence interval for the GDP response to a banking-sector shock produced by a VAR is comparable to the range of outcomes featured in our model-comparison exercise

JEL Code: E32, E44, E47.

Full article (PDF, 68 pages, 3,088 kb)
Online appendix

a At the time of writing all of the authors were economists at the Federal Reserve Board. Francisco Covas is now at the Bank Policy Institute.