Banks, Sovereign Risk and Unconventional Monetary Policies

Stéphane Auray (1, 2, 3) , Aurélien Eyquem (4) , Xiaofei Ma (2, 5)

1 ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz]
2 CREST - Centre de Recherche en Economie et Statistique [Bruz]
3 ULCO - Université du Littoral Côte d'Opale
4 GATE Lyon Saint-Étienne - Groupe d'Analyse et de Théorie Economique Lyon - Saint-Etienne
5 UEVE - Université d'Évry-Val-d'Essonne

We develop a two-country model with an explicitly microfounded interbank market and sovereign default risk. Calibrated to the core and the periphery of the Euro Area, the model gives rise to a debt-banks-credit loop that substantially amplifies the effects of financial shocks, especially for the periphery. We use the model to investigate the effects of a stylized public asset purchase program at the steady state and during a crisis. We find that it is more effective in stimulating the economy during a crisis, in particular for the periphery.

Mots clés: Recession; Interbank Market; Sovereign Default Risk; Asset Purchases

Domaines: Economies et finances

Stéphane Auray, Aurélien Eyquem, Xiaofei Ma. Banks, Sovereign Risk and Unconventional Monetary Policies. 2018. ⟨halshs-01942734⟩