Effectiveness of macroprudential policies under borrower heterogeneity

Maria Teresa Punzi and Katrin Rabitsch

Journal of International Money and Finance, 2018, vol. 85, issue C, 251-261

Abstract: We study the impact of macroprudential policies using a novel model which takes into account households’ ability to borrow under different loan-to-value ratios which are tied to their collateral values. Such model generates a larger amplification in real and financial variables, compared to standard models that assume homogeneity in the leveraging and deleveraging process.

Keywords: Endogenous loan-to-value ratio; Heterogeneity; Macroprudential policy (search for similar items in EconPapers)
JEL-codes: E23 E32 E44 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:85:y:2018:i:c:p:251-261

DOI: 10.1016/j.jimonfin.2017.11.008

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