Macrofinancial Modeling At Central Banks: Recent Developments and Future Directions

Jan Vlcek and Scott Roger

No 2012/021, IMF Working Papers from International Monetary Fund

Abstract: This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.

Keywords: WP; bank; central bank; capital; interbank market; transmission mechanism; Monetary policy analysis; financial frictions; macroeconomic modeling; lending bank; bank capital channel; banking sector; representative bank; DSGE forecasting; Financial stability assessment; Dynamic stochastic general equilibrium models; Interbank markets (search for similar items in EconPapers)
Pages: 39
Date: 2012-01-01
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Citations: View citations in EconPapers (28)

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