We introduce the financial market friction through the search and matching in the loan market into a dynamic stochastic general equilibrium (DSGE) model. We reveal that the second order approximation of social welfare includes the terms relating credit, such as credit market tightness, the...

This paper uses a financial macro-econometric model to compare and analyze the impact of macroprudential policy measures -- a credit growth restriction, loan-to-value and debt-to-income regulations, and a time-varying capital requirement -- on the economic dynamics through the financial cycle...

This paper examines the long-term relationship between macro economic fundamentals and the weighted-average land price indicators, which are supposed to be more appropriate than the official land price indicators when analyzing their impacts on the macro economy. In many cases, we find the...

This paper describes Financial Activity Indexes (FAIXs), early warning system for financial imbalances in Japan. We introduced the first version of FAIXs in 2012 and revise FAIXs this time. First, we sort the candidate financial indicators into 14 categories. Second, in each category, we examine...

This paper analyzes the effects on the financial system and the real economy of errors in a reference rate, and the subsequent rapid corrections of the rate. In this analysis, we use the Financial Macro-econometric Model, which reflects an adverse feedback loop between the financial system and...