Macro-prudential policy in a Fisherian model of financial innovation:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.]
International Monetary Fund
©2012
|
| Schriftenreihe: | IMF working paper
WP/12/181 |
| Schlagworte: | |
| Online-Zugang: | FAW01 FAW02 FLA01 |
| Beschreibung: | Title from PDF title page (IMF Web site, viewed Jul. 24, 2012). - "Research Department. - "July 2012." Includes bibliographical references The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow change as agents learn from observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly |
| Beschreibung: | 54 pages |
| ISBN: | 1475576625 9781475576627 |
Internformat
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| 245 | 1 | 0 | |a Macro-prudential policy in a Fisherian model of financial innovation |c Javier Bianchi, Emine Boz, Enrique G. Mendoza |
| 264 | 1 | |a [Washington, D.C.] |b International Monetary Fund |c ©2012 | |
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| 500 | |a Title from PDF title page (IMF Web site, viewed Jul. 24, 2012). - "Research Department. - "July 2012." | ||
| 500 | |a Includes bibliographical references | ||
| 500 | |a The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow change as agents learn from observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 4 | |a Psychologie | |
| 650 | 4 | |a Wirtschaft | |
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| 650 | 4 | |a Financial institutions |x Management |x Econometric models | |
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Datensatz im Suchindex
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| author | Bianchi, Javier |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.152 |
| dewey-search | 332.152 |
| dewey-sort | 3332.152 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| isbn | 1475576625 9781475576627 |
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| spelling | Bianchi, Javier Verfasser aut Macro-prudential policy in a Fisherian model of financial innovation Javier Bianchi, Emine Boz, Enrique G. Mendoza [Washington, D.C.] International Monetary Fund ©2012 54 pages txt rdacontent c rdamedia cr rdacarrier IMF working paper WP/12/181 Title from PDF title page (IMF Web site, viewed Jul. 24, 2012). - "Research Department. - "July 2012." Includes bibliographical references The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow change as agents learn from observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly BUSINESS & ECONOMICS / Finance bisacsh Psychologie Wirtschaft Ökonometrisches Modell Financial institutions Management Econometric models Equilibrium (Economics) Econometric models Financial crises United States Psychological aspects Econometric models USA Boz, Emine Sonstige oth Mendoza, Enrique G. 1963- Sonstige oth International Monetary FundXXbResearch Department Sonstige oth |
| spellingShingle | Bianchi, Javier Macro-prudential policy in a Fisherian model of financial innovation BUSINESS & ECONOMICS / Finance bisacsh Psychologie Wirtschaft Ökonometrisches Modell Financial institutions Management Econometric models Equilibrium (Economics) Econometric models Financial crises United States Psychological aspects Econometric models |
| title | Macro-prudential policy in a Fisherian model of financial innovation |
| title_auth | Macro-prudential policy in a Fisherian model of financial innovation |
| title_exact_search | Macro-prudential policy in a Fisherian model of financial innovation |
| title_full | Macro-prudential policy in a Fisherian model of financial innovation Javier Bianchi, Emine Boz, Enrique G. Mendoza |
| title_fullStr | Macro-prudential policy in a Fisherian model of financial innovation Javier Bianchi, Emine Boz, Enrique G. Mendoza |
| title_full_unstemmed | Macro-prudential policy in a Fisherian model of financial innovation Javier Bianchi, Emine Boz, Enrique G. Mendoza |
| title_short | Macro-prudential policy in a Fisherian model of financial innovation |
| title_sort | macro prudential policy in a fisherian model of financial innovation |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Psychologie Wirtschaft Ökonometrisches Modell Financial institutions Management Econometric models Equilibrium (Economics) Econometric models Financial crises United States Psychological aspects Econometric models |
| topic_facet | BUSINESS & ECONOMICS / Finance Psychologie Wirtschaft Ökonometrisches Modell Financial institutions Management Econometric models Equilibrium (Economics) Econometric models Financial crises United States Psychological aspects Econometric models USA |
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