Publicação
Macroprudential and monetary policies : a dynamic stochastic general equilibrium model-based perspective
| Resumo: | The increased emphasis on macroprudential policies since the global financial crisis has led to an increasingly rich literature on this subject. In this thesis, I use a DSGE model with borrowing constrained agents to study the impact of loan-to-value countercyclical macroprudential policies. By modelling a LTV ratio as a Taylor-type rule, I perform several simulations with different shocks in order to assess the macroeconomic impact, the transmission mechanism and possible (conflicting or complementary) interaction with monetary policy. I address the importance of policy design characteristics such as degree of reactiveness and graduality in the policy response from the macroprudential authority. The results show that the LTV ratio, by reacting to house prices growth, reduces the credit contraction associated with shocks arising in the housing sector. The sensitivity analysis suggests for the implementation of a smooth reaction of the policy to changes in house prices, which appears to better contain the fluctuations in credit. Regarding the interaction with monetary policy, simulations show that monetary and macroprudential policies are complementary when fluctuations are demand-base (i.e. housing preference shock) but they are conflicting when the shock is from the supply-side (i.e. housing productivity shock). Last, sensitivity analysis is performed with regard to the macroeconomic variable that the LTV ratio responds to. |
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| Autores principais: | Pesce, Simone |
| Assunto: | Macroprudential policy Monetary policy DSGE models LTV ratio |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Católica Portuguesa |
| Idioma: | inglês |
| Origem: | Veritati - Repositório Institucional da Universidade Católica Portuguesa |
| Resumo: | The increased emphasis on macroprudential policies since the global financial crisis has led to an increasingly rich literature on this subject. In this thesis, I use a DSGE model with borrowing constrained agents to study the impact of loan-to-value countercyclical macroprudential policies. By modelling a LTV ratio as a Taylor-type rule, I perform several simulations with different shocks in order to assess the macroeconomic impact, the transmission mechanism and possible (conflicting or complementary) interaction with monetary policy. I address the importance of policy design characteristics such as degree of reactiveness and graduality in the policy response from the macroprudential authority. The results show that the LTV ratio, by reacting to house prices growth, reduces the credit contraction associated with shocks arising in the housing sector. The sensitivity analysis suggests for the implementation of a smooth reaction of the policy to changes in house prices, which appears to better contain the fluctuations in credit. Regarding the interaction with monetary policy, simulations show that monetary and macroprudential policies are complementary when fluctuations are demand-base (i.e. housing preference shock) but they are conflicting when the shock is from the supply-side (i.e. housing productivity shock). Last, sensitivity analysis is performed with regard to the macroeconomic variable that the LTV ratio responds to. |
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