Advanced Search
MyIDEAS: Login

A Termometer for Macroprudential Policies

Contents:

Author Info

  • Fabio Kanczuk

    ()

Abstract

We 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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.fea.usp.br/feaecon/RePEc/documentos/Kanczuk04WP.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of São Paulo (FEA-USP) in its series Working Papers, Department of Economics with number 2012_04.

as in new window
Length:
Date of creation: 04 Apr 2012
Date of revision:
Handle: RePEc:spa:wpaper:2012wpecon04

Contact details of provider:
Postal: Av. Professor Luciano Gualberto, 908 - CEP 05508-900 São Paulo - SP
Phone: +55-11-3091-5944
Fax: +55-11-3091-6013
Email:
Web page: http://www.fea.usp.br/feaecon/
More information through EDIRC

Order Information:
Email:

Related research

Keywords: DSGE; financial frictions; emerging markets; subprime crisis;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. 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.
  2. 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.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:spa:wpaper:2012wpecon04. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Pedro Garcia Duarte).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.