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Facing the global financial cycle : what role for policy responses?
Batini, Nicoletta; Durand, Luigi - 2021
Abstract In this paper we ask whether countries can influence their exposure to changes in global financial conditions. Specifically, we show that even though we can model cross-country capital flows via a global factor that closely tracks changes in global financial conditions, there is a large...
Persistent link: https://www.econbiz.de/10012518283
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Booms, crises, and recoveries : a new paradigm of the business cycle and its policy implications
Cerra, Valerie; Saxena, Sweta Chaman - 2017
All types of recessions, on average, not just those associated with financial and political crises (as in Cerra and Saxena, AER 2008), lead to permanent output losses. These findings have far-reaching conceptual and policy implications. A new paradigm of the business cycle needs to account for...
Persistent link: https://www.econbiz.de/10011763625
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Managing macrofinancial risk
Adrian, Tobias; Vitek, Francis - 2020
We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...
Persistent link: https://www.econbiz.de/10012300643
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How should credit gaps be measured? : an application to European countries
Baba, Chikako; Dell'Erba, Salvatore; Detragiache, Enrica; … - 2020
economic theory and a fundamentals-based panel regression. Each approach has pros and cons, but they both provide a useful …
Persistent link: https://www.econbiz.de/10012170099
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Dampening global financial shocks : can macroprudential regulation help (more than capital controls)?
Bergant, Katharina; Grigoli, Francesco; Hansen, … - 2020
We show that macroprudential regulation can considerably dampen the impact of global financial shocks on emerging … markets. More specifically, a tighter level of regulation reduces the sensitivity of GDP growth to VIX movements and capital … liquidity, foreign currency mismatches, and risky forms of credit. We also find that tighter macroprudential regulation allows …
Persistent link: https://www.econbiz.de/10012252052
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Addressing spillovers from prolonged U.S. monetary policy easing
Cecchetti, Stephen G.; Narita, Machiko; Rawat, Umang; … - 2021
spillovers, driving up financial system leverage in other countries. When faced with such a rise of threats to financial … increase their leverage by as much as they otherwise would. By contrast, it is more difficult to counter the spillovers with …
Persistent link: https://www.econbiz.de/10012605643
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An extended quarterly projection model : credit cycle, macrofinancial linkages and macroprudential measures : the case of the Philippines
Karam, Philippe; Pranovich, Mikhail; Vlček, Jan - 2021
We extend a modern practical Quarterly Projection Model to study credit cycle dynamics and risks, focusing on macrofinancial linkages and the role of macroprudential policy in achieving economic and financial stability. We tailor the model to the Philippines and evaluate the model's properties...
Persistent link: https://www.econbiz.de/10012796309
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Robust optimal macroprudential policy
Montamat, Giselle; Roch, Francisco - 2021
We consider how fear of model misspecification on the part of the planner and/or the households affects welfare gains from optimal macroprudential taxes in an economy with occasionally binding collateral constraints as in Bianchi (2011). On the one hand, there exist welfare gains from...
Persistent link: https://www.econbiz.de/10012518751
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Optimal macroprudential policy and asset price bubbles
Biljanovska, Nina; Górnicka, Lucyna; Vardoulakis, … - 2019
An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond...
Persistent link: https://www.econbiz.de/10012103635
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Does easing monetary policy increase financial instability?
Cesa-Bianchi, Ambrogio; Rebucci, Alessandro - 2015
This paper develops a model featuring both a macroeconomic and a financial friction that speaks to the interaction between monetary and macro-prudential policies. There are two main results. First, real interest rate rigidities in a monopolistic banking system have an asymmetric impact on...
Persistent link: https://www.econbiz.de/10011374764