Monetary policy and macroprudential regulation with financial frictions

Monetary policy and macroprudential regulation with financial frictions / Pierre-Richard Agénor, School of Social Sciences, University of Manchester.

"A monograph that accounts for financial frictions in some of the most-used macroeconomic models. An attempt to bring practical reality into macroeconomic theory"--

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Bibliographic Details
Main Author: Agénor, Pierre-Richard (Author)
Format: eBook
Language:English
Published: Cambridge, Massachusetts : MIT Press, [2020]
Subjects:
Monetary policy > Econometric models.
Macroeconomics.
BUSINESS & ECONOMICS > Money & Monetary Policy.
Macroeconomics
Monetary policy > Econometric models
Online Access:Click for online access
Table of Contents:
  • Intro
  • Title Page
  • Copyright
  • Dedication
  • Table of Contents
  • Introduction and Overview
  • Common Notations for Variables
  • Common Notations for Parameters
  • 1. Financial Systems, Financial Frictions, and Macroeconomic Models
  • 1.1. Banks and the Financial System
  • 1.2. Credit Market Imperfections
  • 1.3. Business Cycles and Financial Cycles
  • 1.4. Financial Supervision and Regulation
  • 1.5. Systemic Risk and Financial Fragility
  • 1.6. Role of Macroprudential Regulation
  • 1.7. Implications for Macroeconomic Models
  • 1.8. DSGE Models as Exploratory Platforms
  • 1.9. Modeling Approach
  • 2. A Simple Closed-Economy Model with Financial Frictions
  • 2.1. Exogenous Output
  • 2.2. Endogenous Output and the Cost Channel
  • 2.3. Default Premium and Monopolistic Competition
  • 2.4. Macroprudential Regulation
  • 2.5. Land as Portfolio Asset and Collateral
  • 2.6. Notes on the Literature
  • Appendix. Alternative Consumption Function
  • 3. A Simple Dynamic Model with Financial Frictions
  • 3.1. The Model
  • 3.2. Solution and Steady State
  • 3.3. Monetary and Macroprudential Policies
  • 3.4. Endogenous Refinance Rate
  • 3.5. Extensions
  • 4. A Core Closed-Economy DSGE Model with Financial Frictions
  • 4.1. The Model
  • 4.2. Equilibrium Conditions
  • 4.3. Steady State
  • 4.4. Log-Linearization
  • 4.5. Parameterization
  • 4.6. Solution and Experiments
  • 4.7. Sensitivity Analysis
  • 4.8. Notes on the Literature
  • Appendix. Calvo Pricing and Inflation Persistence
  • 5. Reserve Requirements, Policy Evaluation, and Coordination
  • 5.1. Background
  • 5.2. Active Use of Reserve Requirements
  • 5.3. Simple Countercyclical Rules
  • 5.4. Optimal Simple Countercyclical Rules
  • 5.5. Tinbergen's Principle and Coordination
  • 5.6. Results for a Credit Spread Shock
  • 5.7. Ramsey Policy and Simple Rules
  • 5.8. Notes on the Literature
  • 6. Capital Requirements and Monetary Policy
  • 6.1. Background
  • 6.2. The Model
  • 6.3. Equilibrium Conditions
  • 6.4. Steady State and Log-Linearization
  • 6.5. Parameterization
  • 6.6. Experiment: Credit Spread Shock
  • 6.7. Simple Policy Rules and Welfare
  • 6.8. Results for a Credit Spread Shock
  • 6.9. Notes on the Literature
  • Appendix. Risk Weight Formulas under the IRB Approach
  • 7. A Simple Open-Economy Model with Financial Frictions
  • 7.1. Fixed Exchange Rates
  • 7.2. Flexible Exchange Rates
  • 7.3. Extensions
  • 7.4. Notes on the Literature
  • 8. A Core Open-Economy DSGE Model with Financial Frictions
  • 8.1. The Model
  • 8.2. Equilibrium and Steady State
  • 8.3. Parameterization
  • 8.4. Drop in the World Risk-Free Rate
  • 8.5. Greater International Financial Integration
  • 8.6. Notes on the Literature
  • Appendix. Log-Linearized Equations
  • 9. External Shocks, Macroprudential Regulation, and Capital Controls
  • 9.1. Macroprudential Policy Responses
  • 9.2. Capital Controls
  • 9.3. Policy Combinations
  • 9.4. Notes on the Literature

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