Document de travail

Financial Regulation and Shadow Banking

A Small-Scale DSGE Perspective

Patrick Fève, Alban Moura et Olivier Pierrard

Résumé

This paper estimates a small-scale DSGE model of the US economy with interacting traditional and shadow banks. We find that shadow banks amplify the transmission of structural shocks by helping escape constraints from traditional intermediaries. We show how this leakage toward shadow entities reduces the ability of macro-prudential policies targeting traditional credit to reduce economic volatility. A counterfactual experiment suggests that a countercyclical capital buffer, if applied only to traditional banks, would have in fact amplified the boom-bust cycle associated with the financial crisis of 2007-2008. On the other hand, a broader regulation scheme targeting both traditional and shadow credit would have helped stabilize the economy.

Mots-clés

Shadow Banking; DSGE models; Macro-prudential Policy;

Codes JEL

  • C32: Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes
  • E32: Business Fluctuations • Cycles

Remplacé par

Patrick Fève, Alban Moura et Olivier Pierrard, « Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective », Journal of Economic Dynamics and Control, vol. 101, avril 2019, p. 130–144.

Référence

Patrick Fève, Alban Moura et Olivier Pierrard, « Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective », TSE Working Paper, n° 17-829, juillet 2017, révision août 2018.

Voir aussi

Publié dans

TSE Working Paper, n° 17-829, juillet 2017, révision août 2018