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 | : Mr.Jiaqian Chen |
| Publisher | : International Monetary Fund |
| Total Pages | : 58 |
| Release | : 2016-03-23 |
| Genre | : Business & Economics |
| ISBN | : 1475546548 |
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 | : Marco Ratto |
| Publisher | : |
| Total Pages | : 57 |
| Release | : 1981 |
| Genre | : Equilibrium (Economics) |
| ISBN | : 9789279082603 |
Download QUEST III Book in PDF, ePub and Kindle
| Author | : Mr.Thierry Tressel |
| Publisher | : International Monetary Fund |
| Total Pages | : 32 |
| Release | : 2016-01-12 |
| Genre | : Business & Economics |
| ISBN | : 1513547402 |
Download Effectiveness and Channels of Macroprudential Instruments Book in PDF, ePub and Kindle
The crisis has highlighted the importance of setting up macro-prudential oversight frameworks, having effective macro-prudential instruments in place to be called upon to mitigate growing financial imbalances as needed. We develop a new approach using the euro area Bank Lending Survey to assess the effectiveness of macro-prudential policies in containing credit growth and house price appreciation in mortgage markets. We find instruments targeting the cost of bank capital most effective in slowing down mortgage credit growth, and that the impact is transmitted mainly through price margins, the same banking channel as monetary policy. Limits on loan-to-value ratios are also effective, especially when monetary policy is excessively loose.
| 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 | : Črt Lenarčič |
| Publisher | : |
| Total Pages | : |
| Release | : 2019 |
| Genre | : |
| ISBN | : 9789616960304 |
Download Complementaries and Tensions Between Monetary and Macroprudential Policies in an Estimated DSGE Model Book in PDF, ePub and Kindle
Recent financial crisis has shown that the prior belief that the active monetary policy in pursuing price stability may not be sufficient enough to maintain financial stability as well as macroeconomic stability in an economy.
| Author | : Eric Jondeau |
| Publisher | : |
| Total Pages | : 38 |
| Release | : 2006 |
| Genre | : Euro area |
| ISBN | : |
Download Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity Book in PDF, ePub and Kindle
| Author | : Michał Brzoza-Brzezina |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Macroprudential Policy and Imbalances in the Euro Area Book in PDF, ePub and Kindle
