03940nam 2200625Ia 450 991046224180332120200520144314.01-4755-4251-81-4755-7072-4(CKB)2670000000278844(EBL)1606843(SSID)ssj0000942157(PQKBManifestationID)11565989(PQKBTitleCode)TC0000942157(PQKBWorkID)10964413(PQKB)10996332(MiAaPQ)EBC1606843(Au-PeEL)EBL1606843(CaPaEBR)ebr10627065(OCoLC)801529075(EXLCZ)99267000000027884420111102d2012 uy 0engur|n|---|||||txtccrMacro-prudential policy in a Fisherian model of financial innovation[electronic resource] /prepared by Javier Bianchi, Emine Boz, Enrique G. MendozaWashington, DC International Monetary Fund20121 online resource (55 p.)IMF working paper ;12/181Description based upon print version of record.1-4755-7662-5 1-4755-0529-9 Includes bibliographical references.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 AnalysisTable 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 OptimismFigure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric PriorsThe 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 chaIMF Working PapersFinancial institutionsManagementEconometric modelsEquilibrium (Economics)Econometric modelsElectronic books.Financial institutionsManagementEconometric models.Equilibrium (Economics)Econometric models.Bianchi Javier980075Boz Emine873355Mendoza Enrique G.1963-119545MiAaPQMiAaPQMiAaPQBOOK9910462241803321Macro-prudential policy in a Fisherian model of financial innovation2235296UNINA