Monetary And Macroprudential Policy In An Estimated Dsge Model Of The Euro Area PDF Download
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| Author | : Mr.Dominic Quint |
| Publisher | : International Monetary Fund |
| Total Pages | : 61 |
| Release | : 2013-10-14 |
| Genre | : Business & Economics |
| ISBN | : 1484333691 |
Download Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area Book in PDF, ePub and Kindle
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a macroprudential rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In particular, macroprudential policy may entail welfare costs for borrowers under technology shocks, by increasing the countercyclical behavior of lending spreads.
| Author | : Giacomo Carboni |
| Publisher | : |
| Total Pages | : 46 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Exploring the Nexus Between Macro-Prudential Policies and Monetary Policy Measures Book in PDF, ePub and Kindle
The financial crisis highlighted the importance of systemic risks and of policies that can be employed to prevent and mitigate them. Several recent initiatives aim at establishing institutional frameworks for macro-prudential policy. As this process advances further, substantial uncertainties remain regarding the transmission channels of macro-prudential instruments as well as the interactions with other policy functions, and monetary policy in particular. This paper provides an overview and some illustrative model simulations using an estimated DSGE model for the euro area of the macroeconomic interdependence between macro-prudential instruments and monetary policy.
| Author | : Marco Ratto |
| Publisher | : |
| Total Pages | : 57 |
| Release | : 1981 |
| Genre | : Equilibrium (Economics) |
| ISBN | : 9789279082603 |
Download QUEST III Book in PDF, ePub and Kindle
| Author | : International Monetary Fund. Fiscal Affairs Dept. |
| Publisher | : International Monetary Fund |
| Total Pages | : 64 |
| Release | : 2013-10-06 |
| Genre | : Business & Economics |
| ISBN | : 1498341713 |
Download Key Aspects of Macroprudential Policy - Background Paper Book in PDF, ePub and Kindle
The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.
| Author | : Mr.Jiaqian Chen |
| Publisher | : International Monetary Fund |
| Total Pages | : 58 |
| Release | : 2016-03-23 |
| Genre | : Business & Economics |
| ISBN | : 1484306694 |
Download Macroprudential and Monetary Policy Interactions in a DSGE Model for Sweden Book in PDF, ePub and Kindle
We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to Sweden. Households face a ceiling on their loan-to-value ratio and must amortize their mortgages. The government grants mortgage interest payment deductions. Lending rates are affected by mortgage risk weights. We find that demand-side macroprudential measures are more effective in curbing household debt ratios than monetary policy, and they are less costly in terms of foregone consumption. A tighter macroprudential stance is also found to be welfare improving, by promoting lower consumption volatility in response to shocks, especially when using a combination of macroprudential instruments.
| Author | : Mr.Dominic Quint |
| Publisher | : International Monetary Fund |
| Total Pages | : 61 |
| Release | : 2013-10-14 |
| Genre | : Business & Economics |
| ISBN | : 1484343026 |
Download Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area Book in PDF, ePub and Kindle
In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary and macroprudential policy can play a role. We find that the introduction of a macroprudential rule would help in reducing macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but their effects on borrowers depend on the shock that hits the economy. In particular, macroprudential policy may entail welfare costs for borrowers under technology shocks, by increasing the countercyclical behavior of lending spreads.
| Author | : Mr.Jaromir Benes |
| Publisher | : International Monetary Fund |
| Total Pages | : 59 |
| Release | : 2014-04-04 |
| Genre | : Business & Economics |
| ISBN | : 1475524986 |
Download Financial Crises in DSGE Models Book in PDF, ePub and Kindle
This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of financial cycles. A companion paper studies the simulation properties of MAPMOD.
| Author | : |
| Publisher | : |
| Total Pages | : 55 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download QUEST III, an Estimated DSGE Model of the Euro Area with Fiscal and Monetary Policy Book in PDF, ePub and Kindle
This paper develops a DSGE model for an open economy and estimates it on euro area data using Bayesian estimation techniques. The model features nominal and real frictions, as well as financial frictions in the form of liquidity constrained households. The model incorporates active monetary and fiscal policy rules (for government consumption, investment, transfers and wage taxes) and can be used to analyse the effectiveness of stabilisation policies. To capture the unit root character of macroeconomic time-series we allow for stochastic trend in TFP, but instead of filtering data prior to estimation, we estimate the model in growth rates and stationary nominal ratios.
| Author | : Nicoletta Batini |
| Publisher | : International Monetary Fund |
| Total Pages | : 75 |
| Release | : 2020-06-05 |
| Genre | : Business & Economics |
| ISBN | : 1513546082 |
Download How Loose, How Tight? A Measure of Monetary and Fiscal Stance for the Euro Area Book in PDF, ePub and Kindle
This paper builds a model-based dynamic monetary and fiscal conditions index (DMFCI) and uses it to examine the evolution of the joint stance of monetary and fiscal policies in the euro area (EA) and in its three largest member countries over the period 2007-2018. The index is based on the relative impacts of monetary and fiscal policy on demand using actual and simulated data from rich estimated models featuring also financial intermediaries and long-term government debt. The analysis highlights a short-lived fiscal expansion in the aftermath of the Global Financial Crisis, followed by a quick tightening, with monetary policy left to be the “only game in town” after 2013. Individual countries’ DMFCIs show that national policy stances did not always mirror the evolution of the aggregate stance at the EA level, due to heterogeneity in the fiscal stance.
| Author | : Andreas Jobst |
| Publisher | : International Monetary Fund |
| Total Pages | : 48 |
| Release | : 2016-08-10 |
| Genre | : Business & Economics |
| ISBN | : 1475524471 |
Download Negative Interest Rate Policy (NIRP) Book in PDF, ePub and Kindle
More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero lower bound is less binding than previously thought. However, interest rate cuts also weigh on bank profitability. Substantial rate cuts may at some point outweigh the benefits from higher asset values and stronger aggregate demand. Further monetary accommodation may need to rely more on credit easing and an expansion of the ECB’s balance sheet rather than substantial additional reductions in the policy rate.
