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Banks in The Global Integrated Monetary and Fiscal Model, Michal Andrle, Michael Kumhof, Douglas Laxton, Dirk Muir

Classification
1
Label
Banks in The Global Integrated Monetary and Fiscal Model, Michal Andrle, Michael Kumhof, Douglas Laxton, Dirk Muir
Language
eng
Abstract
The Global Integrated Monetary and Fiscal model (GIMF) is a multi-region DSGE model developed by the Economic Modeling Division of the IMF for policy and scenario analysis. This paper compares two versions of GIMF, GIMF with a conventional financial accelerator, where bank balance sheets do not play a prominent role, and GIMF with both a financial accelerator and a fully specified banking sector that can make lending losses, and that is regulated according to Basel-III. We illustrate the comparative macroeconomic properties of both models by presenting their responses to a wide range of fiscal, demand, supply and financial shocks
Bibliography note
Includes bibliographical references
resource.governmentPublication
international or intergovernmental publication
Literary form
non fiction
Main title
Banks in The Global Integrated Monetary and Fiscal Model
Nature of contents
dictionaries
Responsibility statement
Michal Andrle, Michael Kumhof, Douglas Laxton, Dirk Muir
Series statement
IMF Working Papers
Table of contents
Cover; Contents; I. Introduction; II. The Global Integrated Monetary and Fiscal Model (GIMF); A. Household Sector; B. Production Sector; C. Financial Sector; 1. Banks in GIMF-BGG; 2. Banks in GIMF-BANKS; D. International Dimensions; E. Fiscal and Monetary Policy; III. Properties of Fiscal Stimulus Shocks; A. Two-Year Increase in Government Consumption or Government Investment; B. Two-Year Increase in General or Targeted Lump-sum Transfers; C. Two-Year Decrease in Taxation; IV. Properties of Demand Shocks; A. Temporary Increase in the Policy RateB. Temporary Increase in Private Domestic DemandV. Properties of Supply Shocks; A. Productivity Shocks; 1. Permanent Increase in the Level of Productivity; 2. Persistent Increase in the Growth Rate of Productivity; B. Permanent Drop in Wage Markups; C. Permanent Drop in Price Markups; D. Permanent Increase in Tariffs; VI. Properties of Financial Sector Shocks; A. Temporary Increase in Borrower Riskiness; 1. Equal Impact Effect on External Financing Spread; 2. Equal Size of Shock to Borrower Riskiness; B. Shocks to Macroprudential Policy Settings in GIMF-BANKS1. Fixed versus Countercyclical MCAR2. Immediate versus Gradual Increase in MCAR; VII. Conclusion; References; Figures; 1. Temporary Stimulus Through Government Consumption (1pc of GDP for 2 years); 2. Temporary Stimulus Through Government Investment (1pc of GDP for 2 years); 3. Temporary Stimulus Through Government Consumption - Bank Loan Losses; 4. Temporary Stimulus Through Targeted Transfers (1pc of GDP for 2 years); 5. Temporary Stimulus Through General Transfers (1pc of GDP for 2 years); 6. Temporary Stimulus Through Lower Consumption Taxes (1pc of GDP for 2 years)7. Temporary Stimulus Through Lower Labor Income Taxes (1pc of GDP for 2 years)8. Temporary Stimulus Through Lower Capital Income Taxes (1pc of GDP for 2 years); 9. Temporary Increase in the Policy Rate; 10. Temporary Increase in Private Domestic Demand; 11. Permanent Increase in Labor Productivity; 12. Ten-Year Increase in Labor Productivity Growth; 13. Permanent Drop in Wage Markup; 14. Permanent Drop in Price Markup; 15. Permanent Increase in Tariffs; 16. Temporary Increase in Borrower Riskiness - Equal External Financing Spreads17. Temporary Increase in Borrower Riskiness - Bank Loan Losses18. Temporary Increase in Borrower Riskiness - Equal Shock Sizes; 19. Fixed versus Countercyclical MCAR; 20. Immediate versus Gradual Increase in MCAR

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