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Macroprudential policy in a DSGE model: anchoring the countercyclical capital buffer

Leonardo Ferreira () and Marcio Nakane ()

Economics Bulletin, 2018, vol. 38, issue 4, 2345-2352

Abstract: This paper focuses on the choice of the variable to which the macroprudential instrument must respond - the anchor variable. We input different macroprudential rules into the DSGE with a banking sector proposed by Gerali et al. (2010), and estimate its key parameters using Bayesian techniques applied to Brazilian data. We then rank the results using the unconditional expectation of lifetime utility as of time zero.

Keywords: Macroprudential Policy; Basel III; Capital Buffer; Anchor Variable (search for similar items in EconPapers)
JEL-codes: E5 (search for similar items in EconPapers)
Date: 2018-12-10
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http://www.accessecon.com/Pubs/EB/2018/Volume38/EB-18-V38-I4-P213.pdf (application/pdf)

Related works:
Working Paper: Macroprudential Policy in a DSGE Model: anchoring the countercyclical capital buffer (2015) Downloads
Working Paper: Macroprudential Policy in a DSGE Model: anchoring the countercyclical capital buffer (2015) Downloads
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