Impact of Macroprudential Policy Measures on Economic Dynamics: Simulation Using a Financial Macro-econometric Model

Hiroshi Kawata, Yoshiyuki Kurachi, Koji Nakamura and Yuki Teranishi
Additional contact information
Hiroshi Kawata: Bank of Japan
Koji Nakamura: Bank of Japan

No 13-E-3, Bank of Japan Working Paper Series from Bank of Japan

Abstract: This paper uses a financial macro-econometric model to compare and analyze the impact of macroprudential policy measures -- a credit growth restriction, loan-to-value and debt-to-income regulations, and a time-varying capital requirement -- on the economic dynamics through the financial cycle with the asset price bubble. Our analysis shows that although these macroprudential policy measures dampen economic volatility, it is possible that they reduce average economic growth, and the effects on the economic dynamics differ widely among macroprudential policy measures. In addition, the policy effects are changed dramatically by lags in recognizing the state of the economy. Our results also suggest that macroprudential policy measures can help contribute to more stable financial intermediation by raising the resilience of the financial system against risks.

Date: 2013-02-20
New Economics Papers: this item is included in nep-cba, nep-fdg and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.boj.or.jp/en/research/wps_rev/wps_2013/data/wp13e03.pdf (application/pdf)

Related works:
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:boj:bojwps:13-e-3

Access Statistics for this paper

More papers in Bank of Japan Working Paper Series from Bank of Japan Contact information at EDIRC.
Bibliographic data for series maintained by Bank of Japan ().