Overborrowing, Financial Crises and 'Macro-Prudential' Policy?:
This paper studies overborrowing, financial crises and macro-prudential policy in an equilibrium model of business cycles and asset prices with collateral constraints. Agents in a decentralized competitive equilibrium do not internalize the negative effects of asset fire-sales on the value of other...
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1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2011
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Schriftenreihe: | IMF Working Papers
Working Paper No. 11/24 |
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 studies overborrowing, financial crises and macro-prudential policy in an equilibrium model of business cycles and asset prices with collateral constraints. Agents in a decentralized competitive equilibrium do not internalize the negative effects of asset fire-sales on the value of other agents'' assets and hence they borrow too much"" ex ante, compared with a constrained social planner who internalizes these effects. Average debt and leverage ratios are slightly larger in the competitive equilibrium, but the incidence and magnitude of financial crises are much larger. Excess asset returns, Sharpe ratios and the market price of risk are also much larger. State-contigent taxes on debt and dividends of about 1 and -0.5 percent on average respectively support the planner's allocations as a competitive equilibrium and increase social welfare |
Beschreibung: | 1 Online-Ressource (53 p) |
ISBN: | 1455216712 9781455216710 |
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publisher | International Monetary Fund |
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spelling | Mendoza, Enrique G. Verfasser aut Overborrowing, Financial Crises and 'Macro-Prudential' Policy? Mendoza, Enrique G Washington, D.C International Monetary Fund 2011 1 Online-Ressource (53 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 11/24 This paper studies overborrowing, financial crises and macro-prudential policy in an equilibrium model of business cycles and asset prices with collateral constraints. Agents in a decentralized competitive equilibrium do not internalize the negative effects of asset fire-sales on the value of other agents'' assets and hence they borrow too much"" ex ante, compared with a constrained social planner who internalizes these effects. Average debt and leverage ratios are slightly larger in the competitive equilibrium, but the incidence and magnitude of financial crises are much larger. Excess asset returns, Sharpe ratios and the market price of risk are also much larger. State-contigent taxes on debt and dividends of about 1 and -0.5 percent on average respectively support the planner's allocations as a competitive equilibrium and increase social welfare Online-Ausg Bianchi, Javier Sonstige oth http://elibrary.imf.org/view/IMF001/11626-9781455216710/11626-9781455216710/11626-9781455216710.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Mendoza, Enrique G. Overborrowing, Financial Crises and 'Macro-Prudential' Policy? |
title | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? |
title_auth | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? |
title_exact_search | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? |
title_exact_search_txtP | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? |
title_full | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? Mendoza, Enrique G |
title_fullStr | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? Mendoza, Enrique G |
title_full_unstemmed | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? Mendoza, Enrique G |
title_short | Overborrowing, Financial Crises and 'Macro-Prudential' Policy? |
title_sort | overborrowing financial crises and macro prudential policy |
url | http://elibrary.imf.org/view/IMF001/11626-9781455216710/11626-9781455216710/11626-9781455216710.xml |
work_keys_str_mv | AT mendozaenriqueg overborrowingfinancialcrisesandmacroprudentialpolicy AT bianchijavier overborrowingfinancialcrisesandmacroprudentialpolicy |