absorption with GDP on the product and income side
Summary (continued)
The model...and during the “sudden stop”
Households
Banking sector
Government
Solution of...
These risks also affect the resilience of a credit
institution’s business model...from less significant institutions:
1) expectations regarding their business...
restricted ( 840 obs, 28 countries, longer time series)
• Very simple baseline model...**
9
Highlights – full sample
• Strong evidence against the random walk...
lending (BoE)
Risk sharing credit schemes in place from 2010
Special lending model...rate on long-
term corporate loans (July 2013) 5,58
Government credit schemes -...
• Put simply, YES
– Proposed model works best where bank credit
dominates (e.g....Other Series
• Real GDP, GDP Deflator, Commodity prices
– Defines basic macro...
volattility implied by the market price of an option based on the Black-
Scholes model...n
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p
E
S
T
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xp
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ct
a
tio
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s
difference (right) ESTR OIS...
