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Record Nr. |
UNINA9910786481203321 |
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Autore |
Bianchi Javier |
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Titolo |
Macro-prudential Policy in a Fisherian Model of Financial Innovation / / Javier Bianchi, Emine Boz, Enrique Mendoza |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2012 |
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ISBN |
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1-4755-4251-8 |
1-4755-7072-4 |
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Descrizione fisica |
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1 online resource (55 p.) |
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Collana |
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Altri autori (Persone) |
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Soggetti |
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Financial institutions - Management - Econometric models |
Equilibrium (Economics) - Econometric models |
Macroeconomics |
Money and Monetary Policy |
Real Estate |
Taxation |
Industries: Financial Services |
Externalities |
Asymmetric and Private Information |
Business Fluctuations |
Cycles |
Financial Markets and the Macroeconomy |
Current Account Adjustment |
Short-term Capital Movements |
Open Economy Macroeconomics |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Price Level |
Inflation |
Deflation |
Nonagricultural and Nonresidential Real Estate Markets |
Tax Evasion and Avoidance |
Monetary economics |
Finance |
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Property & real estate |
Public finance & taxation |
Credit |
Collateral |
Asset prices |
Land prices |
Tax arrears management |
Money |
Financial institutions |
Prices |
Revenue administration |
Loans |
Housing |
Tax administration and procedure |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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 change as agents learn from |
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observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly. |
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