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Quelle prise en compte des caractéristiques nationales dans les mesures macroprudentielles en zone euro ?

Listed author(s):
  • Jean-Christophe Poutineau
  • Gauthier Vermandel

This article examines the impact of cross-border lending on the implementation of macroprudential measures in the Euro Area. The goal is to evaluate - regardless of the current institutional organization - what relative weight should be allocated to federal and national considerations. The analysis relies on an estimated two-country dynamic stochastic general equilibrium (DSGE) model, based on the financial accelerator mechanism. This model is estimated using Bayesian techniques on European data adopting the coreperiphery dichotomy. Our results underline that divergences of real and financial cycles between the two regions of the monetary union are driven by both the regional heterogeneity of structural parameters and shocks which are larger in periphery. Regarding the implementation of financial stability measures, the heterogeneous treatment between countries leads to tighter macroprudential measures for periphery, but this affects differently regional macroeconomic performances. Finally, a counterfactual analysis studying the response of output and investment during the financial crisis episode reveals that peripheral countries strongly benefited from the implementation of macroprudential measures at the expense of core countries which experienced a deterioration of their situation.

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Article provided by Presses de Sciences-Po in its journal Revue française d'économie.

Volume (Year): Volume XXX (2015)
Issue (Month): 3 ()
Pages: 95-141

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Handle: RePEc:cai:rferfe:rfe_153_0095
Contact details of provider: Web page: http://www.cairn.info/revue-francaise-d-economie.htm

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  1. Christopher Dawson & David de Meza & Andrew Henley & G. Reza Arabsheibani, 2014. "Entrepreneurship: cause and consequence of financial optimism," LSE Research Online Documents on Economics 65276, London School of Economics and Political Science, LSE Library.
  2. Dominic Quint & Pau Rabanal, 2014. "Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 169-236, June.
  3. Stephanie Schmitt-Grohe & Martin Uribe, 2001. "Closing Small Open Economy Models," Departmental Working Papers 200115, Rutgers University, Department of Economics.
  4. Aurélien Eyquem & Jean-Christophe Poutineau, 2010. "Markets Integration and Macroeconomic. Dispersion in a Monetary Union," Recherches économiques de Louvain, De Boeck Université, vol. 76(1), pages 5-30.
  5. Poutineau, Jean-Christophe & Vermandel, Gauthier, 2015. "Cross-border banking flows spillovers in the Eurozone: Evidence from an estimated DSGE model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 378-403.
  6. Manju Puri & David T. Robinson, 2013. "The Economic Psychology of Entrepreneurship and Family Business," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 22(2), pages 423-444, 06.
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  8. Frank Smets & Raf Wouters, 2003. "An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, 09.
  9. Stephanie Schmitt-Grohe & Martin Uribe, 2004. "Optimal Simple and Implementable Monetary and Fiscal Rules," NBER Working Papers 10253, National Bureau of Economic Research, Inc.
  10. Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
  11. Jean-Christophe Poutineau & Gauthier Vermandel, 2014. "Intégration bancaire et conjoncture macroéconomique dans une union monétaire hétérogène," Post-Print hal-01275874, HAL.
  12. Andrea Gerali & Stefano Neri & Luca Sessa & Federico M. Signoretti, 2010. "Credit and banking in a DSGE model of the euro area," Temi di discussione (Economic working papers) 740, Bank of Italy, Economic Research and International Relations Area.
  13. An, Sungbae & Schorfheide, Frank, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
  14. Christiano, Lawrence & Rostagno, Massimo & Motto, Roberto, 2010. "Financial factors in economic fluctuations," Working Paper Series 1192, European Central Bank.
  15. Darracq Pariès, Matthieu & Kok, Christoffer & Rodriguez-Palenzuela, Diego, 2010. "Macroeconomic propagation under different regulatory regimes: Evidence from an estimated DSGE model for the euro area," Working Paper Series 1251, European Central Bank.
  16. Thomas Lubik & Frank Schorfheide, 2006. "A Bayesian Look at the New Open Economy Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 2005, Volume 20, pages 313-382 National Bureau of Economic Research, Inc.
  17. Jondeau, E. & Sahuc, J-G., 2006. "Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity," Working papers 141, Banque de France.
  18. Dawson, Christopher & de Meza, David Emmanuel & Henley, Andrew & Arabsheibani, Reza, 2012. "Entrepreneurship: Cause or Consequence of Financial Optimism?," IZA Discussion Papers 6844, Institute for the Study of Labor (IZA).
  19. Ben Bernanke & Mark Gertler & Simon Gilchrist, 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," NBER Working Papers 6455, National Bureau of Economic Research, Inc.
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