TY  - RPRT
A1  - Faia, Ester
T1  - Credit risk transfers and the macroeconomy
N2  - The recent financial crisis highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macroeconomy remains unexplored. I build a business cycle model with banks engaging in credit risk transfer (CRT) under informational externalities. Markets  for CRT provide liquidity insurance to banks, but the emergence of a pooling equilibrium can also impair the banks’ monitoring incentives. In normal times and in face of standard macro shocks the insurance benefits of CRT prevail and the business cycle is stabilized. In face of financial/liquidity shocks the extent of informational asymmetries is larger and the business cycle is amplified. The macro model with CRT can also reproduce well a number of macro and banking statistics over the period of rapid growth of this banks’ business model.
KW  - credit risk transfer
KW  - informational externalities
KW  - capital re-cycling
Y1  - 2014
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/35719
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-357198
UR  - http://www.wiwi.uni-frankfurt.de/profs/faia/welcome_files/CRT_final.pdf
N1  - First draft: February 2010. This draft: June 2014.
IS  - This Draft: June 2014
ER  -