A Termometer for Macroprudential Policies
AbstractWe write model that considers both households’ and firms’ credit frictions. Firms’ credit is modeled by the traditional financial accelerator à la Bernanke et al (1999). Households that borrow funds face interest rates that increase with their debt, as in Curdia and Woodford (2010). We estimate the model using Brazilian data, use it to study recent crisis episodes, and validate the finance premia (distilled from non-financial data) with available credit information. We then propose that the model can be used as a termometer to evaluate how prudential credit measures affect growth and inflation.
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Bibliographic InfoPaper provided by University of São Paulo (FEA-USP) in its series Working Papers, Department of Economics with number 2012_04.
Date of creation: 04 Apr 2012
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Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Matteo Iacoviello, 2002.
"House prices, borrowing constraints and monetary policy in the business cycle,"
Boston College Working Papers in Economics
542, Boston College Department of Economics, revised 06 Dec 2004.
- Matteo Iacoviello, 2005. "House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle," American Economic Review, American Economic Association, vol. 95(3), pages 739-764, June.
- Stiglitz, Joseph E & Weiss, Andrew, 1981. "Credit Rationing in Markets with Imperfect Information," American Economic Review, American Economic Association, vol. 71(3), pages 393-410, June.
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