Macro-prudential policy in a Fisherian model of financial innovation

Javier Bianchi, Emine Boz, and Enrique G. Mendoza

The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow cha

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Year of publication:	2012
Authors:	Bianchi, Javier ; Boz, Emine ; Mendoza, Enrique G.
Publisher:	Washington, DC : Internat. Monetary Fund
Subject:	Finanzprodukt \| Financial product \| Quantitätstheorie \| Quantity theory of money \| Allgemeines Gleichgewicht \| General equilibrium \| Unvollkommene Information \| Incomplete information \| Finanzmarktregulierung \| Financial market regulation \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 53 S., 1,548 KB) graph. Darst.
Series:	IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. 12/181 IMF Working Papers
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Includes bibliographical references Systemvoraussetzungen: Acrobat Reader Cover; Contents; 1.Introduction; 2 A Fisherian Model of Financial Innovation; 2.1 Decentralized Competitive Equilibrium; 2.2 Learning Environment; 2.3 Learning, Debt and Price Dynamics after Financial Innovation; 2.4 Recursive Anticipated Utility Competitive Equilibrium; 2.5 Conditionally Efficient Planners' Problems; 2.6 Pecuniary Externality and Decentralization of Planners' Allocations; 3 Quantitative Analysis; 3.1 Baseline Calibration; Tables; Table 1: Baseline Parameter Values; 3.2 Baseline Results; 3.3 Welfare Analysis; Table 2: Welfare Gains; 3.4 Sensitivity Analysis Table 3: Summary of Priors4 Conclusion; Appendixes; Appendix: Recursive Optimization Problems; References; References; Figures; Figure 1: Dynamics in the Baseline Calibration; Figure 2: Period 40 Bond Holdings and Asset Prices; Figure 3: Period 41 Bond Holdings and Asset Prices; Figure 4: Crisis Episode; Figure 5: Taxes on Debt and Land Dividends; Figure 6: Decomposition of Taxes on Debt; Figure 7: Priors; Figure 8: Dynamics in Gradual Optimism Calibration; Figure 9: Period 40 Bond Holdings and Prices: Gradual Optimism; Figure 10: Taxes on Debt and Land Dividends: Gradual Optimism Figure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric Priors Electronic reproduction; Available via World Wide Web
ISBN:	978-1-4755-0529-0 ; 978-1-4755-7072-4 ; 978-1-4755-0529-0
Source:	ECONIS - Online Catalogue of the ZBW

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