LEADER 07682oam 22015854 450 001 9910814616003321 005 20240402045409.0 010 $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(Au-PeEL)EBL1606843 035 $a(CaPaEBR)ebr10627065 035 $a(OCoLC)801529075 035 $a(IMF)WPIEE2012181 035 $a(IMF)WPIEA2012181 035 $a(MiAaPQ)EBC1606843 035 $a(EXLCZ)992670000000278844 100 $a20020129d2012 uf 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 /$fJavier Bianchi, Emine Boz, Enrique Mendoza 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2012. 215 $a1 online resource (55 p.) 225 1 $aIMF Working Papers 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 3 $aThe interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow change as agents learn from observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2012/181 606 $aFinancial institutions$xManagement$xEconometric models 606 $aEquilibrium (Economics)$xEconometric models 606 $aMacroeconomics$2imf 606 $aMoney and Monetary Policy$2imf 606 $aReal Estate$2imf 606 $aTaxation$2imf 606 $aIndustries: Financial Services$2imf 606 $aExternalities$2imf 606 $aAsymmetric and Private Information$2imf 606 $aBusiness Fluctuations$2imf 606 $aCycles$2imf 606 $aFinancial Markets and the Macroeconomy$2imf 606 $aCurrent Account Adjustment$2imf 606 $aShort-term Capital Movements$2imf 606 $aOpen Economy Macroeconomics$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aBanks$2imf 606 $aDepository Institutions$2imf 606 $aMicro Finance Institutions$2imf 606 $aMortgages$2imf 606 $aPrice Level$2imf 606 $aInflation$2imf 606 $aDeflation$2imf 606 $aNonagricultural and Nonresidential Real Estate Markets$2imf 606 $aTax Evasion and Avoidance$2imf 606 $aMonetary economics$2imf 606 $aFinance$2imf 606 $aProperty & real estate$2imf 606 $aPublic finance & taxation$2imf 606 $aCredit$2imf 606 $aCollateral$2imf 606 $aAsset prices$2imf 606 $aLand prices$2imf 606 $aTax arrears management$2imf 606 $aMoney$2imf 606 $aFinancial institutions$2imf 606 $aPrices$2imf 606 $aRevenue administration$2imf 606 $aLoans$2imf 606 $aHousing$2imf 606 $aTax administration and procedure$2imf 607 $aUnited States$2imf 615 0$aFinancial institutions$xManagement$xEconometric models. 615 0$aEquilibrium (Economics)$xEconometric models. 615 7$aMacroeconomics 615 7$aMoney and Monetary Policy 615 7$aReal Estate 615 7$aTaxation 615 7$aIndustries: Financial Services 615 7$aExternalities 615 7$aAsymmetric and Private Information 615 7$aBusiness Fluctuations 615 7$aCycles 615 7$aFinancial Markets and the Macroeconomy 615 7$aCurrent Account Adjustment 615 7$aShort-term Capital Movements 615 7$aOpen Economy Macroeconomics 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aBanks 615 7$aDepository Institutions 615 7$aMicro Finance Institutions 615 7$aMortgages 615 7$aPrice Level 615 7$aInflation 615 7$aDeflation 615 7$aNonagricultural and Nonresidential Real Estate Markets 615 7$aTax Evasion and Avoidance 615 7$aMonetary economics 615 7$aFinance 615 7$aProperty & real estate 615 7$aPublic finance & taxation 615 7$aCredit 615 7$aCollateral 615 7$aAsset prices 615 7$aLand prices 615 7$aTax arrears management 615 7$aMoney 615 7$aFinancial institutions 615 7$aPrices 615 7$aRevenue administration 615 7$aLoans 615 7$aHousing 615 7$aTax administration and procedure 676 $a332.152 700 $aBianchi$b Javier$01631767 701 $aBoz$b Emine$01631768 701 $aMendoza$b Enrique$0119545 801 0$bDcWaIMF 906 $aBOOK 912 $a9910814616003321 996 $aMacro-prudential Policy in a Fisherian Model of Financial Innovation$93970552 997 $aUNINA