LEADER 03940nam 2200625Ia 450 001 9910462241803321 005 20200520144314.0 010 $a1-4755-4251-8 010 $a1-4755-7072-4 035 $a(CKB)2670000000278844 035 $a(EBL)1606843 035 $a(SSID)ssj0000942157 035 $a(PQKBManifestationID)11565989 035 $a(PQKBTitleCode)TC0000942157 035 $a(PQKBWorkID)10964413 035 $a(PQKB)10996332 035 $a(MiAaPQ)EBC1606843 035 $a(Au-PeEL)EBL1606843 035 $a(CaPaEBR)ebr10627065 035 $a(OCoLC)801529075 035 $a(EXLCZ)992670000000278844 100 $a20111102d2012 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aMacro-prudential policy in a Fisherian model of financial innovation$b[electronic resource] /$fprepared by Javier Bianchi, Emine Boz, Enrique G. Mendoza 210 $aWashington, DC $cInternational Monetary Fund$d2012 215 $a1 online resource (55 p.) 225 0 $aIMF working paper ;$v12/181 300 $aDescription based upon print version of record. 311 $a1-4755-7662-5 311 $a1-4755-0529-9 320 $aIncludes bibliographical references. 327 $aCover; 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 327 $aTable 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 327 $aFigure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric Priors 330 $aThe interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow cha 410 0$aIMF Working Papers 606 $aFinancial institutions$xManagement$xEconometric models 606 $aEquilibrium (Economics)$xEconometric models 608 $aElectronic books. 615 0$aFinancial institutions$xManagement$xEconometric models. 615 0$aEquilibrium (Economics)$xEconometric models. 700 $aBianchi$b Javier$0980075 701 $aBoz$b Emine$0873355 701 $aMendoza$b Enrique G.$f1963-$0119545 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910462241803321 996 $aMacro-prudential policy in a Fisherian model of financial innovation$92235296 997 $aUNINA