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| Author: | Blejer, M.I. Feldman, E.V. Feltenstein, A. |
| Title: | Exogenous shocks, contagion, and bank soundness: a macroeconomic framework |
| Journal: | Journal of International Money and Finance
2002 : FEB, VOL. 21:1, p. 33-52 |
| Index terms: | BANKING ECONOMIC SHOCKS MACROECONOMICS |
| Freeterms: | CONTAGION |
| Language: | eng |
| Abstract: | In a model where all banks are initially solvent, an exogenous shock affects confidence, causing a flight from deposits into domestic and foreign currency. Real interest rates increase unexpectedly, affecting firms and raising the share of the banks nonperforming assets. This contagion causes a bank run. Simulations show that compensatory monetary policy mitigates the bank run but causes macroeconomic imbalances. |
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