 |
Journal articles
Taming macroeconomic instability: Monetary andmacro-prudential policy interactions in an agent-basedmodel
Abstract : We develop an agent-based model to study the macroeconomic impact of alternative
macro-prudential regulations and their possible interactions with different monetary policy
rules. The aim is to shed light on the most appropriate policy mix to achieve the resilience
of the banking sector and foster macroeconomic stability. Simulation results show that a
triple-mandate Taylor rule,focused onoutput gap, inflationand credit growth, and a BaselIII
prudential regulationis the bestpolicymix to improve the stability ofthe banking sector and
smooth output fluctuations. Moreover, we consider the different levers of Basel III and their
combinations. We find that minimum capital requirements and counter-cyclical capital
buffers allow to achieve results close to the Basel III first-best with a much more simplified
regulatory framework. Finally, the components of Basel III are non-additive: the inclusion
of an additional lever does not always improve the performance of the macro-prudential
regulation.
https://hal-sciencespo.archives-ouvertes.fr/hal-03399574
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Tuesday, November 30, 2021 - 4:25:20 PM
Last modification on : Friday, May 6, 2022 - 4:20:02 PM
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Tuesday, November 30, 2021 - 4:25:20 PM
Last modification on : Friday, May 6, 2022 - 4:20:02 PM
File
2017-taming-macroeconomic-inst...
Publisher files allowed on an open archive