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Macro-prudential policy in a Fisherian model of financial innovation
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| 자료유형 | 단행본 |
|---|---|
| 서명/저자사항 | Macro-prudential policy in a Fisherian model of financial innovation/ Javier Bianchi, Emine Boz, Enrique G. Mendoza. |
| 개인저자 | Bianchi, Javier,author. Boz, Emine,author, Mendoza, Enrique G.,1963- author, |
| 단체저자명 | International Monetary Fund. Research Department. |
| 발행사항 | [Washington, D.C.]: International Monetary Fund, ?012. |
| 형태사항 | 1 online resource (54 pages). |
| 총서사항 | IMF working paper;WP/12/181 |
| ISBN | 1475576625 9781475576627 |
| 일반주기 |
Title from PDF title page (IMF Web site, viewed Jul. 24, 2012).
"Research Department. "July 2012." |
| 서지주기 | Includes bibliographical references. |
| 요약 | 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. |
| 일반주제명 | Financial institutions --Management --Econometric models. Equilibrium (Economics) --Econometric models. Financial crises --United States --Psychological aspects --Econometric models. BUSINESS & ECONOMICS --Finance. |
| 언어 | 영어 |
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