Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area
Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area
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DOI：
10.17169/fudocs_document_000000020039
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发表时间：
2013-10
期刊：
影响因子：
--
通讯作者：
Dominic Quint;Pau Rabanal
中科院分区：
文献类型：
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作者：
Dominic Quint;Pau Rabanal
在本文中，我们研究了欧元区两国模型中货币政策和宏观审慎政策的最优组合。该模型包括实际摩擦、名义摩擦和金融摩擦，因此货币政策和宏观审慎政策都可以发挥作用。我们发现，引入宏观审慎规则有助于减少宏观经济波动，改善福利，并部分替代国家货币政策的缺失。宏观审慎政策总是会增加储户的福利，但其对借款人的影响取决于对经济的冲击。特别是，宏观审慎政策可能会增加贷款利差的反周期行为，从而在技术冲击下给借款人带来福利成本。
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 reduce macroeconomic volatility, improve welfare, and partially substitute for the lack of national monetary policies. Macroprudential policy would always increase the welfare of savers, but its 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.