Incorporating Financial Sector Risk Into Monetary Policy Models: Application to Chile
This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial stability i...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2011
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 11/228 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial stability indicator in its monetary policy (interest rate) reaction function. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction function reduces both inflation and output volatility. Moreover, the results are robust to different model calibrations: whenever exchange-rate pass-through is higher; financial vulnerability has a larger impact on the exchange rate, as well as on GDP (or the reverse, there is more effect of GDP on bank''s equity - i.e., what we call endogeneity), it is more efficient to include dtd in the reaction function |
| Beschreibung: | 1 Online-Ressource (34 p) |
| ISBN: | 1463921284 9781463921286 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:20Z |
| indexdate | 2024-07-10T09:35:28Z |
| institution | BVB |
| isbn | 1463921284 9781463921286 |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Luna, Leonardo Verfasser aut Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile Luna, Leonardo Washington, D.C International Monetary Fund 2011 1 Online-Ressource (34 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 11/228 This paper builds a model of financial sector vulnerability and integrates it into a macroeconomic framework, typically used for monetary policy analysis. The main question to be answered with the integrated model is whether or not the central bank should include explicitly the financial stability indicator in its monetary policy (interest rate) reaction function. It is found in general, that including distance-to-default (dtd) of the banking system in the central bank reaction function reduces both inflation and output volatility. Moreover, the results are robust to different model calibrations: whenever exchange-rate pass-through is higher; financial vulnerability has a larger impact on the exchange rate, as well as on GDP (or the reverse, there is more effect of GDP on bank''s equity - i.e., what we call endogeneity), it is more efficient to include dtd in the reaction function Online-Ausg Garcia, Carlos Sonstige oth Gray, Dale F. Sonstige oth Restrepo, Jorge Sonstige oth http://elibrary.imf.org/view/IMF001/12216-9781463921286/12216-9781463921286/12216-9781463921286.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Luna, Leonardo Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile |
| title | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile |
| title_auth | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile |
| title_exact_search | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile |
| title_exact_search_txtP | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile |
| title_full | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile Luna, Leonardo |
| title_fullStr | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile Luna, Leonardo |
| title_full_unstemmed | Incorporating Financial Sector Risk Into Monetary Policy Models Application to Chile Luna, Leonardo |
| title_short | Incorporating Financial Sector Risk Into Monetary Policy Models |
| title_sort | incorporating financial sector risk into monetary policy models application to chile |
| title_sub | Application to Chile |
| url | http://elibrary.imf.org/view/IMF001/12216-9781463921286/12216-9781463921286/12216-9781463921286.xml |
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