07821oam 22016454 450 991097402900332120250426110845.09781475542516147554251897814755707241475570724(CKB)2670000000278844(EBL)1606843(SSID)ssj0000942157(PQKBManifestationID)11565989(PQKBTitleCode)TC0000942157(PQKBWorkID)10964413(PQKB)10996332(Au-PeEL)EBL1606843(CaPaEBR)ebr10627065(OCoLC)801529075(IMF)WPIEE2012181(IMF)WPIEA2012181(MiAaPQ)EBC1606843WPIEA2012181(EXLCZ)99267000000027884420020129d2012 uf 0engur|n|---|||||txtccrMacro-prudential Policy in a Fisherian Model of Financial Innovation /Javier Bianchi, Emine Boz, Enrique Mendoza1st ed.Washington, D.C. :International Monetary Fund,2012.1 online resource (55 p.)IMF Working PapersDescription based upon print version of record.9781475576627 1475576625 9781475505290 1475505299 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 change as agents learn from 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.IMF Working Papers; Working Paper ;No. 2012/181Financial institutionsManagementEconometric modelsEquilibrium (Economics)Econometric modelsAsset pricesimfAsymmetric and Private InformationimfBanksimfBusiness FluctuationsimfCollateralimfCreditimfCurrent Account AdjustmentimfCyclesimfDeflationimfDepository InstitutionsimfExternalitiesimfFinanceimfFinancial institutionsimfFinancial Markets and the MacroeconomyimfHousingimfIndustries: Financial ServicesimfInflationimfLand pricesimfLoansimfMacroeconomicsimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMoneyimfMortgagesimfNonagricultural and Nonresidential Real Estate MarketsimfOpen Economy MacroeconomicsimfPrice LevelimfPricesimfProperty & real estateimfPublic finance & taxationimfReal EstateimfRevenue administrationimfShort-term Capital MovementsimfTax administration and procedureimfTax arrears managementimfTax Evasion and AvoidanceimfTaxationimfUnited StatesimfFinancial institutionsManagementEconometric models.Equilibrium (Economics)Econometric models.Asset pricesAsymmetric and Private InformationBanksBusiness FluctuationsCollateralCreditCurrent Account AdjustmentCyclesDeflationDepository InstitutionsExternalitiesFinanceFinancial institutionsFinancial Markets and the MacroeconomyHousingIndustries: Financial ServicesInflationLand pricesLoansMacroeconomicsMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMoneyMortgagesNonagricultural and Nonresidential Real Estate MarketsOpen Economy MacroeconomicsPrice LevelPricesProperty & real estatePublic finance & taxationReal EstateRevenue administrationShort-term Capital MovementsTax administration and procedureTax arrears managementTax Evasion and AvoidanceTaxation332.152Bianchi Javier1815758Boz Emine1815595Mendoza Enrique119545DcWaIMFBOOK9910974029003321Macro-prudential Policy in a Fisherian Model of Financial Innovation4371265UNINA