Macro-prudential policy in a Fisherian model of financial innovation /:
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 mechan...
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| Hauptverfasser: | , , |
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| Körperschaft: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2012.
|
| Schriftenreihe: | IMF working paper ;
WP/12/181. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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: | Title from PDF title page (IMF Web site, viewed July 24, 2012). "Research Department. "July 2012." |
| Beschreibung: | 1 online resource (54 pages) |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 1475576625 9781475576627 1475505299 9781475505290 1475570724 9781475570724 1475542518 9781475542516 |
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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. |
| 260 | |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 July 24, 2012). | ||
| 500 | |a "Research Department. | ||
| 500 | |a "July 2012." | ||
| 504 | |a Includes bibliographical references. | ||
| 520 | |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. | ||
| 505 | 0 | |a Cover; Contents; 1. Introduction; 2 A Fisherian Model of Financial Innovation; 2.1 Decentralized Competitive Equilibrium; 2.2 Learning Environment; 2.3 Learning, Debt and Price Dynamics after Financial Innovation; 2.4 Recursive Anticipated Utility Competitive Equilibrium; 2.5 Conditionally Efficient Planners' Problems; 2.6 Pecuniary Externality and Decentralization of Planners' Allocations; 3 Quantitative Analysis; 3.1 Baseline Calibration; Tables; Table 1: Baseline Parameter Values; 3.2 Baseline Results; 3.3 Welfare Analysis; Table 2: Welfare Gains; 3.4 Sensitivity Analysis. | |
| 505 | 8 | |a Table 3: Summary of Priors4 Conclusion; Appendixes; Appendix: Recursive Optimization Problems; References; References; Figures; Figure 1: Dynamics in the Baseline Calibration; Figure 2: Period 40 Bond Holdings and Asset Prices; Figure 3: Period 41 Bond Holdings and Asset Prices; Figure 4: Crisis Episode; Figure 5: Taxes on Debt and Land Dividends; Figure 6: Decomposition of Taxes on Debt; Figure 7: Priors; Figure 8: Dynamics in Gradual Optimism Calibration; Figure 9: Period 40 Bond Holdings and Prices: Gradual Optimism; Figure 10: Taxes on Debt and Land Dividends: Gradual Optimism. | |
| 505 | 8 | |a Figure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric Priors. | |
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| author | Bianchi, Javier Boz, Emine Mendoza, Enrique G., 1963- |
| author_GND | http://id.loc.gov/authorities/names/no2011031917 http://id.loc.gov/authorities/names/no2007130830 http://id.loc.gov/authorities/names/no93000401 |
| author_corporate | International Monetary Fund. Research Department |
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| author_facet | Bianchi, Javier Boz, Emine Mendoza, Enrique G., 1963- International Monetary Fund. Research Department |
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| contents | Cover; Contents; 1. Introduction; 2 A Fisherian Model of Financial Innovation; 2.1 Decentralized Competitive Equilibrium; 2.2 Learning Environment; 2.3 Learning, Debt and Price Dynamics after Financial Innovation; 2.4 Recursive Anticipated Utility Competitive Equilibrium; 2.5 Conditionally Efficient Planners' Problems; 2.6 Pecuniary Externality and Decentralization of Planners' Allocations; 3 Quantitative Analysis; 3.1 Baseline Calibration; Tables; Table 1: Baseline Parameter Values; 3.2 Baseline Results; 3.3 Welfare Analysis; Table 2: Welfare Gains; 3.4 Sensitivity Analysis. Table 3: Summary of Priors4 Conclusion; Appendixes; Appendix: Recursive Optimization Problems; References; References; Figures; Figure 1: Dynamics in the Baseline Calibration; Figure 2: Period 40 Bond Holdings and Asset Prices; Figure 3: Period 41 Bond Holdings and Asset Prices; Figure 4: Crisis Episode; Figure 5: Taxes on Debt and Land Dividends; Figure 6: Decomposition of Taxes on Debt; Figure 7: Priors; Figure 8: Dynamics in Gradual Optimism Calibration; Figure 9: Period 40 Bond Holdings and Prices: Gradual Optimism; Figure 10: Taxes on Debt and Land Dividends: Gradual Optimism. Figure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric Priors. |
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| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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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.</subfield></datafield><datafield tag="505" ind1="0" ind2=" "><subfield code="a">Cover; Contents; 1. Introduction; 2 A Fisherian Model of Financial Innovation; 2.1 Decentralized Competitive Equilibrium; 2.2 Learning Environment; 2.3 Learning, Debt and Price Dynamics after Financial Innovation; 2.4 Recursive Anticipated Utility Competitive Equilibrium; 2.5 Conditionally Efficient Planners' Problems; 2.6 Pecuniary Externality and Decentralization of Planners' Allocations; 3 Quantitative Analysis; 3.1 Baseline Calibration; Tables; Table 1: Baseline Parameter Values; 3.2 Baseline Results; 3.3 Welfare Analysis; Table 2: Welfare Gains; 3.4 Sensitivity Analysis.</subfield></datafield><datafield tag="505" ind1="8" ind2=" "><subfield code="a">Table 3: Summary of Priors4 Conclusion; Appendixes; Appendix: Recursive Optimization Problems; References; References; Figures; Figure 1: Dynamics in the Baseline Calibration; Figure 2: Period 40 Bond Holdings and Asset Prices; Figure 3: Period 41 Bond Holdings and Asset Prices; Figure 4: Crisis Episode; Figure 5: Taxes on Debt and Land Dividends; Figure 6: Decomposition of Taxes on Debt; 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| geographic_facet | United States |
| id | ZDB-4-EBU-ocn801529075 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-26T14:49:06Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/n77001219 |
| isbn | 1475576625 9781475576627 1475505299 9781475505290 1475570724 9781475570724 1475542518 9781475542516 |
| language | English |
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| physical | 1 online resource (54 pages) |
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| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | International Monetary Fund, |
| record_format | marc |
| series | IMF working paper ; |
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| spelling | Bianchi, Javier, author. http://id.loc.gov/authorities/names/no2011031917 Macro-prudential policy in a Fisherian model of financial innovation / Javier Bianchi, Emine Boz, Enrique G. Mendoza. [Washington, D.C.] : International Monetary Fund, ©2012. 1 online resource (54 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier polychrome. rdacc http://rdaregistry.info/termList/RDAColourContent/1003 text file rdaft IMF working paper ; WP/12/181 Title from PDF title page (IMF Web site, viewed July 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. Cover; Contents; 1. Introduction; 2 A Fisherian Model of Financial Innovation; 2.1 Decentralized Competitive Equilibrium; 2.2 Learning Environment; 2.3 Learning, Debt and Price Dynamics after Financial Innovation; 2.4 Recursive Anticipated Utility Competitive Equilibrium; 2.5 Conditionally Efficient Planners' Problems; 2.6 Pecuniary Externality and Decentralization of Planners' Allocations; 3 Quantitative Analysis; 3.1 Baseline Calibration; Tables; Table 1: Baseline Parameter Values; 3.2 Baseline Results; 3.3 Welfare Analysis; Table 2: Welfare Gains; 3.4 Sensitivity Analysis. Table 3: Summary of Priors4 Conclusion; Appendixes; Appendix: Recursive Optimization Problems; References; References; Figures; Figure 1: Dynamics in the Baseline Calibration; Figure 2: Period 40 Bond Holdings and Asset Prices; Figure 3: Period 41 Bond Holdings and Asset Prices; Figure 4: Crisis Episode; Figure 5: Taxes on Debt and Land Dividends; Figure 6: Decomposition of Taxes on Debt; Figure 7: Priors; Figure 8: Dynamics in Gradual Optimism Calibration; Figure 9: Period 40 Bond Holdings and Prices: Gradual Optimism; Figure 10: Taxes on Debt and Land Dividends: Gradual Optimism. Figure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric Priors. English. Financial institutions Management Econometric models. Equilibrium (Economics) Econometric models. Financial crises United States Psychological aspects Econometric models. Institutions financières Gestion Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Equilibrium (Economics) Econometric models fast United States fast https://id.oclc.org/worldcat/entity/E39PBJtxgQXMWqmjMjjwXRHgrq Boz, Emine, author. http://id.loc.gov/authorities/names/no2007130830 Mendoza, Enrique G., 1963- author. https://id.oclc.org/worldcat/entity/E39PBJyMkRP3hhkmdKMWdcrH4q http://id.loc.gov/authorities/names/no93000401 International Monetary Fund. Research Department. http://id.loc.gov/authorities/names/n77001219 1-4755-7662-5 1-4755-0529-9 IMF working paper ; WP/12/181. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568172 Volltext |
| spellingShingle | Bianchi, Javier Boz, Emine Mendoza, Enrique G., 1963- Macro-prudential policy in a Fisherian model of financial innovation / IMF working paper ; Cover; Contents; 1. Introduction; 2 A Fisherian Model of Financial Innovation; 2.1 Decentralized Competitive Equilibrium; 2.2 Learning Environment; 2.3 Learning, Debt and Price Dynamics after Financial Innovation; 2.4 Recursive Anticipated Utility Competitive Equilibrium; 2.5 Conditionally Efficient Planners' Problems; 2.6 Pecuniary Externality and Decentralization of Planners' Allocations; 3 Quantitative Analysis; 3.1 Baseline Calibration; Tables; Table 1: Baseline Parameter Values; 3.2 Baseline Results; 3.3 Welfare Analysis; Table 2: Welfare Gains; 3.4 Sensitivity Analysis. Table 3: Summary of Priors4 Conclusion; Appendixes; Appendix: Recursive Optimization Problems; References; References; Figures; Figure 1: Dynamics in the Baseline Calibration; Figure 2: Period 40 Bond Holdings and Asset Prices; Figure 3: Period 41 Bond Holdings and Asset Prices; Figure 4: Crisis Episode; Figure 5: Taxes on Debt and Land Dividends; Figure 6: Decomposition of Taxes on Debt; Figure 7: Priors; Figure 8: Dynamics in Gradual Optimism Calibration; Figure 9: Period 40 Bond Holdings and Prices: Gradual Optimism; Figure 10: Taxes on Debt and Land Dividends: Gradual Optimism. Figure 11: Decomposition of Taxes on Debt: Gradual OptimismFigure 12: Dynamics in Asymmetric Priors Calibration; Figure 13: Taxes on Debt: Asymmetric Priors. Financial institutions Management Econometric models. Equilibrium (Economics) Econometric models. Financial crises United States Psychological aspects Econometric models. Institutions financières Gestion Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Equilibrium (Economics) Econometric models fast |
| 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 | Financial institutions Management Econometric models. Equilibrium (Economics) Econometric models. Financial crises United States Psychological aspects Econometric models. Institutions financières Gestion Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Equilibrium (Economics) Econometric models fast |
| topic_facet | Financial institutions Management Econometric models. Equilibrium (Economics) Econometric models. Financial crises United States Psychological aspects Econometric models. Institutions financières Gestion Modèles économétriques. BUSINESS & ECONOMICS Finance. Equilibrium (Economics) Econometric models United States |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=568172 |
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