A Termometer for Macroprudential Policies

Fabio Kanczuk

No 2012_04, Working Papers, Department of Economics from University of São Paulo (FEA-USP)

Abstract: We write model that considers both households’ and firms’ credit frictions. Firms’ credit is modeled by the traditional financial accelerator à la Bernanke et al (1999). Households that borrow funds face interest rates that increase with their debt, as in Curdia and Woodford (2010). We estimate the model using Brazilian data, use it to study recent crisis episodes, and validate the finance premia (distilled from non-financial data) with available credit information. We then propose that the model can be used as a termometer to evaluate how prudential credit measures affect growth and inflation.

Keywords: DSGE; financial frictions; emerging markets; subprime crisis (search for similar items in EconPapers)
JEL-codes: E32 E51 E52 G32 (search for similar items in EconPapers)
Date: 2012-04-04
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