Commentary on four papers on credit risk modeling

Bank capital ; Bank loans ; Risk ; Bank management

European pension systems: a simulation analysis

Pension systems in different countries vary widely in such aspects as the dependence of benefits on earlier labour income, the minimum permitted retirement age and limits on labour supply after retirement. This paper uses a simulation model of a rational, utility-maximising household facing the detailed pension provisions of eight European countries to study microeconomic distortions induced by the different rules and regulations. We examine in particular the impact on savings, labour supply, retirement age decisions and welfare.

Inflation and Sovereign Default

Recent research has highlighted the role that the government budget constraint plays in determining the consumer price level. According to the fiscal approach to price determination, prices adjust so that the discounted value of future real government primary surpluses equals the current real value of public debt. An important implication is that the probability of a crisis involving default on public debt may directly affect consumer prices. This paper examines the interaction of prices and sovereign insolvency crises using simple, continuous-time models of the government budget constraint. Copyright 2001, International Monetary Fund

The impact of capital requirements on U.K. bank behaviour

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 1, "Impact of capital requirements on bank risk taking: empirical evidence." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.Bank capital ; Banks and banking - Great Britain ; Great Britain ; Bank investments

L'harmonisation fiscale en Europe et l'économie française : une approche en équilibre général

[eng] The paper uses a general equilibrium simulation model to gauge the impact of European fiscal harmonization upon the French economy. The approach taken in this study builds upon the overlapping generations simulation model developed by Auerbach and Kotlikoff (1987). The model we develop extends their framework in three important ways. First, it incorporates a well-developed external sector ; second, a fraction of the households faces a liquidity constraint ; third, the model includes heterogeneous households, referred to as the « rich » and the « poor », differing in their levels of labor productivity and in their tax burden. The basic finding of this study is that a cut in VAT and saving taxes financed by higher wage taxes imply significant welfare losses for both rich and poor households. Finally, we compare these results with those obtained by using models with a more keynesian bent. [fre] Cet article étudie les implications de l'harmonisation fiscale européenne pour l'économie française à travers un modèle d'équilibre général à générations imbriquées. Ce modèle se situe dans la lignée des travaux d'Auerbach et Kotlikoff (1987) avec, toutefois, trois différences. Il décrit une économie ouverte ; certains ménages subissent une contrainte de liquidité ; la population est hétérogène avec des « riches » et des « pauvres » différenciés par leurs productivités et la fiscalité supportée. La principale conclusion de cette étude est, qu'une réduction de la TVA et des taxes sur les revenus de l'épargne, compensée par un accroissement de la fiscalité sur les salaires, pourrait générer des pertes de bien- être significatives pour les deux groupes de ménages. Ces résultats sont, finalement, comparés à ceux d'autres études, qui en utilisant des modèles d'inspiration néokeynésienne, débouchent sur des résultats opposés.