Financial (In)Stability, Supervision and Liquidity Injections: A Dynamic General Equilibrium Approach
构建了一个包含异质性银行和内生违约概率的动态随机一般均衡模型，研究监管和流动性注入对金融稳定的影响，发现流动性注入能降低不稳定性但对产出波动影响不确定。
This paper develops a dynamic stochastic general equilibrium model with interactions between an heterogeneous banking sector and other private agents. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbankmarket. Our aim is to understand the importance of supervisory and monetary authorities to restore financial stability. The model is calibrated against real data and used for simulations. We show that liquidity injections reduce financial instability but have ambiguous effects on output fluctuations. The model also confirms the partial equilibrium literature results on the procyclicality of Basel II.