A policy model to analyze macroprudential regulations and monetary policy

Sami Alpanda (), Gino Cateau and Césaire Meh

Canadian Journal of Economics, 2018, vol. 51, issue 3, 828-863

Abstract: We construct a small-open-economy, new Keynesian dynamic stochastic general-equilibrium model with real financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. The model incorporates rich interactions between the balance sheets of households, firms and banks, long-term household and business debt, macroprudential policy instruments and nominal and real rigidities and is calibrated to match dynamics in Canadian macroeconomic and financial data. We study the transmission of monetary policy and financial and real shocks in the model economy and analyze the effectiveness of various policies in simultaneously achieving macroeconomic and financial stability. We find that, in terms of reducing household debt, more targeted tools such as loan-to-value regulations are the most effective and least costly, followed by bank capital regulations and monetary policy, respectively.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (26)

Downloads: (external link)
https://doi.org/10.1111/caje.12339 (text/html)
access restricted to subscribers

Related works:
Journal Article: A policy model to analyze macroprudential regulations and monetary policy (2018)
Working Paper: A Policy Model to Analyze Macroprudential Regulations and Monetary Policy (2014)
Working Paper: A policy model to analyze macroprudential regulations and monetary policy (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cje:issued:v:51:y:2018:i:3:p:828-863

Ordering information: This journal article can be ordered from
https://www.economic ... ionen/membership.php

Access Statistics for this article

Canadian Journal of Economics is currently edited by Zhiqi Chen

More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Werner Antweiler ().