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Macro-prudential Policy in a Fisherian Model of Financial Innovation / / Javier Bianchi, Emine Boz, Enrique Mendoza



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Autore: Bianchi Javier Visualizza persona
Titolo: Macro-prudential Policy in a Fisherian Model of Financial Innovation / / Javier Bianchi, Emine Boz, Enrique Mendoza Visualizza cluster
Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica: 1 online resource (55 p.)
Soggetto topico: 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
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
Soggetto geografico: United States
Altri autori: BozEmine  
MendozaEnrique  
Note generali: Description based upon print version of record.
Nota di bibliografia: Includes bibliographical references.
Nota di contenuto: 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
Sommario/riassunto: 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 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.
Titolo autorizzato: Macro-prudential Policy in a Fisherian Model of Financial Innovation  Visualizza cluster
ISBN: 1-4755-4251-8
1-4755-7072-4
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910786481203321
Lo trovi qui: Univ. Federico II
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Serie: IMF Working Papers; Working Paper ; ; No. 2012/181