Essays on macroeconomic impact of heterogeneous banks

In the present paper we aim at shedding some light on the role played by the interbank market in the transmission of idiosyncratic shocks hitting single institutions to the whole system and the real economy. We focus, in particular, on shocks to the supply side of credit. We analyse an economy populated by a continuum of identical households, and a mass of atomistic entrepreneurs. In particular, entrepreneurs are of two types, one risky and one safe. We set up a DSGE model representing a simple economy featuring a stylised financial system, with two intermediaries, and an interbank market. One bank faces an exogeneous constraint on the aggregate amount of deposits it can collect. It can overcome its liquidity constraint by borrowing additional financial resources from the unconstrained bank on the interbank market. Since interest rates on loans reflect the relative riskyness of the two types of entrepreneurs, for each unit of borrowed money, the borrower bank is able to realise higher profits than the lender bank, hence the scope for mutually profitable trade on the interbank market. The second chapter of my thesis focused on two aspects that have not been already properly inspected, in the contribution offered by economists in the evaluation of economic effects brought by the recent SARS-CoV-19 pandemic. Specifically, as far as we know, the economic models tipically used to study the Corona-virus effects did not take into account i) the possibility to provide workers forced into lockdown with a subsidy, in order to mitigate the economic loss that comes along with the lockdown, and ii) the different levels of people's compliance to the lockdown policy and how to influence it. The aim of this paper is to shed some light on these two aspects. We try to evaluate the effectiveness of a common lockdown policy combined with a subsidy in influencing the behaviour of people in respecting the confinement.

Lo scopo della presente tesi è far luce sul ruolo del mercato interbancario nella trasmissione di shock idiosincratici verso l’economia reale nel suo complesso. Maggiore attenzione è spesa nello studio di shock che nascono dal lato dell’offerta di credito. Il modello utilizzato è composto da un continuo di famiglie identiche e da una massa di imprenditori atomistici. In particolare, gli imprenditori sono di due tipi, uno rischioso e uno sicuro. Abbiamo costruito un modello DSGE che considera un sistema finanziario stilizzato, con un mercato interbancario con due intermediari. Una banca può raccogliere una quantità limitata di depositi dalle famiglie, ed è quindi spinta a raccogliere maggiori risorse sul mercato interbancario. Poiché i tassi di interesse sui prestiti riflettono la rischiosità dei due imprenditori, il tasso più alto dovuto dagli imprenditori rischiosi permette alla banca che prende a prestito sull’interbancario di essere sempre profittevole, permettendo così all’interbancario di verificarsi.