Macroprudential Debt-to-Income Ratio and Monetary Policy Rules

• Autorzy: Pasquale Filiani
• Języki publikacji: EN

Abstrakty

EN

We consider a monetary DSGE model featuring a borrowing constraint such that the amount of debt cannot be larger than a fraction - the debt-to-income (DTI) limit - of borrowers' labor income and the DTI limit is endogenous. The coexistence of financial amplification mechanisms warranted by this model provides a role for a specific macroprudential tool: a countercyclical DTI limit. Conditional on the pre-crisis sample and in a more recent out-ofsample period, our ex-post normative analysis shows that when this policy is implemented the cooperation between central bank and macroprudential authority in pursuing the "two instruments for two goals" strategy delivers an efficient performance in terms of macroeconomic stabilization, significantly outperforming the central bank's policy of "leaning against the wind". This implies that a central bank should only be focused on its standard objectives (inflation and output stabilization) while financial stability be monitored by a macroprudential authority. (original abstract)

Słowa kluczowe

PL

Model dynamicznej stochastycznej równowagi ogólnej; Zadłużenie gospodarstw domowych; Polityka makroostrożnościowa; Polityka pieniężna

EN

Dynamic Stochastic General Equilibrium (DSGE); Household debt; Macroprudential policy; Monetary policy

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2022
• Tom: 14
• Numer: nr 2
• Strony: 161-198

Twórcy

autor

Pasquale Filiani

• Banque Internationale à Luxembourg

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