On the limits of macroprudential policy

• Autorzy: Marcin Kolasa
• Języki publikacji: EN

Abstrakty

EN

This paper studies how macroprudential policy tools can complement the interest rate- based monetary policy in achieving a selection of dual stabilization objectives. We show analytically in a canonical New Keynesian model with collateral constraints that using the loan-to-value ratio as an additional policy instrument does not resolve the inflation-output volatility trade-off. Perfect targeting of inflation and either credit or house prices with monetary and macroprudential policy is possible only if the role of credit in the economy is sufficiently small. Any of these three dual stabilization objectives can be achieved with the monetary
- fiscal policy mix. The identified limits to the LTV ratio-based policy are related to its predominantly intertemporal effect on decisions made by financially constrained agents. (original abstract)

Słowa kluczowe

EN

Monetary policy; Macroeconomic policy; Economic stabilization; Macroprudential policy

PL

Polityka pieniężna; Polityka makroekonomiczna; Stabilizacja gospodarcza; Polityka makroostrożnościowa

• Czasopismo: Collegium of Economic Analysis SGH - Working Papers
• Rocznik: 2016
• Numer: nr 2
• Strony: 33

Twórcy

autor

Marcin Kolasa

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Angeloni Ignazio, Ester Faia (2013) Capital regulation and monetary policy with fragile banks, "Journal of Monetary Economics", 60(3), 311-324.
• BCBS (2010) Guidance for national authorities operating the countercyclical capital buffer, Technical Report, Basel Committee on Banking Supervision, December.
• Benigno Gianluca, Huigang Chen, Christopher Otrok, Alessandro Rebucci, Eric R. Young (2013) Financial crises and macro-prudential policies, "Journal of International Economics", 89(2), 453-470.
• Benigno Pierpaolo, Michael Woodford (2012) Linear-quadratic approximation of optimal policy problems, "Journal of Economic Theory", 147(1), 1-42.
• Benigno Pierpaolo, Gauti B. Eggertsson, Federica Romei (2014) Dynamic Debt Deleveraging and Optimal Monetary Policy, "NBER Working Papers 20556, National Bureau of Economic Research", October.
• Bernanke Ben S., Mark Gertler (2001) Should Central Banks Respond to Movements in Asset Prices? "American Economic Review", 91(2), 253-257.
• Blanchard Olivier Jean, Charles M. Kahn (1980) The Solution of Linear Difference Models under Rational Expectations, "Econometrica", 48(5), 1305-11.
• Bodenstein Martin, Luca Guerrieri, Joe LaBriola (2014) Macroeconomic Policy Games, "Finance and Economics Discussion Series 2014-87, Board of Governors of the Federal Reserve System", (U.S.), September.
• Brunnermeier, Markus K., and Yuliy Sannikov (2014) A Macroeconomic Model with a Financial Sector, "American Economic Review", 104(2), 379-421.
• Brzoza-Brzezina, Michał, Marcin Kolasa, Krzysztof Makarski (2015) Macroprudential policy and imbalances in the euro area, "Journal of International Money and Finance", 51, 137-154.
• Brzoza-Brzezina Michał, Paolo Gelain, Marcin Kolasa (2014) Monetary and macroprudential policy with multi-period loans, 2014 "Meeting Papers 575, Society for Economic Dynamics".
• Campbell Jeffrey R., Zvi Hercowitz (2009) Welfare implications of the transition to high household debt, "Journal of Monetary Economics", 56(1), 1-16.
• Carlstrom Charles T., Timothy Fuerst (2007) Asset Prices, Nominal Rigidities, and Monetary Policy, "Review of Economic Dynamics", 10(2), 256-275.
• Cecchetti Stephen G., Marion Kohler (2014) When Capital Adequacy and Interest Rate Policy Are Substitutes (And When They Are Not), "International Journal of Central Banking", 10(3), 205-231.
• Christiano Lawrence J., Cosmin Ilut, Roberto Motto, Massimo Rostagno (2010) Monetary policy and stock market booms, "Proceedings - Economic Policy Symposium",, pp. 85-145, Jackson Hole.
• Clement Piet (2010) The term "macroprudential": origins and evolution, "BIS Quarterly Review, Bank for International Settlements", March.
• Curdia Vasco, Michael Woodford (2009) Credit frictions and optimal monetary policy, "BIS Working Papers 278, Bank for International Settlements", March.
• Darracq-Paries Matthieu, Christoffer Kok Sorensen, Diego Rodriguez-Palenzuela (2011) Macroeconomic propagation under different regulatory regimes: Evidence from an estimated DSGE model for the euro area, "International Journal of Central Banking", 7(4), 49-113.
• De Paoli Bianca, Matthias Paustian (2013) Coordinating monetary and macroprudential policies, "Staff Reports 653, Federal Reserve Bank of New York".
• Dixit Avinash, Luisa Lambertini (2003) Interactions of Commitment and Discretion in Monetary and Fiscal Policies, "American Economic Review", 93(5), 1522-1542.
• Faia Ester, Tommaso Monacelli (2007) Optimal interest rate rules, asset prices, and credit frictions, "Journal of Economic Dynamics and Control", 31(10), 3228-3254.
• Galati Gabriele, Richhild Moessner (2013) Macroprudential Policy - A Literature Review, Journal of Economic Surveys", 27(5), 846-878.
• Geanakoplos John (2010) The Leverage Cycle, in: "NBER Macroeconomics Annual", 2009, Volume 24, pp. 1-65, National Bureau of Economic Research.
• Gertler Mark, Jordi Gali, Richard Clarida (1999) The Science of Monetary Policy: A New Keynesian Perspective, "Journal of Economic Literature", 37(4), 1661-1707.
• Holbrook, Robert S (1972) Optimal Economic Policy and the Problem of Instrument Instability, "American Economic Review", 62(1), 57-65.
• Hong Kong Monetary Authority (2011) Loan-to-value ratio as a macroprudential tool - Hong kong SAR's experience and cross-country evidence, "BIS Papers 57,167-178, Bank for International Settlements".
• Iacoviello Matteo (2005) House prices, borrowing constraints, and monetary policy in the business cycle, "American Economic Review", 95(3), 739-764.
• IMF (2011) Macroprudential policy: An organizing framework, Staff Background Paper
• Jeanne Olivier, Anton Korinek (2010) Excessive Volatility in Capital Flows: A Pigouvian Taxation Approach, "American Economic Review 100(2), 403-07.
• Justiniano Alejandro, Giorgio E. Primiceri, Andrea Tambalotti (2015) Credit supply and the housing boom, "NBER Working Papers", 20874, National Bureau of Economic Research, January.
• Kim Choongsoo (2014) Macroprudential policies in Korea: Key measures and experiences, "Financial Stability Review 18, Banque de France",.
• Kiyotaki Nobuhiro, John Moore (1997) Credit Cycles, "Journal of Political Economy", 105(2), 211-48.
• Lambertini Luisa, Caterina Mendicino, Maria Teresa Punzi (2013) Leaning against boom-bust cycles in credit and housing prices, "Journal of Economic Dynamics and Control", 37(8), 1500-1522.
• Lane, Timothy D. (1984) Instrument instability and short-term monetary control, "Journal of Monetary Economics", 14(2), 209-224.
• Notarpietro, Alessandro, and Stefano Siviero (2015) Optimal monetary policy rules and house prices: the role of financial frictions, "Journal of Money, Credit and Banking", 47(1), 383-410.
• Quint, Dominic, and Pau Rabanal (2014) Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area, "International Journal of Central Banking", 10(2), 169-236.
• Schmitt-Grohe Stephanie, Martin Uribe (2004) Optimal fiscal and monetary policy under sticky prices, "Journal of Economic Theory", 114(2), 198-230.
• Siu Henry E. (2004) Optimal fiscal and monetary policy with sticky prices, "Journal of Monetary Economics", 51(3), 575-607.
• Smets Frank, Raf Wouters (2003) An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area, "Journal of the European Economic Association", 1(5), 1123-1175.
• Woodford Michael (2003) Interest and prices: foundations of a theory of monetary policy, Princeton University Press.