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Quelle prise en compte des caractéristiques nationales dans les mesures macro-prudentielles en zone euro?

Listed author(s):
  • Jean-Christophe Poutineau

    (CREM - Centre de Recherche en Economie et Management - UR1 - Université de Rennes 1 - Université de Caen Basse-Normandie - CNRS - Centre National de la Recherche Scientifique)

  • Gauthier Vermandel

    (CREM - Centre de Recherche en Economie et Management - UR1 - Université de Rennes 1 - Université de Caen Basse-Normandie - CNRS - Centre National de la Recherche Scientifique, LEDa - Laboratoire d'Economie de Dauphine - Université Paris-Dauphine)

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 core-periphery 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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Paper provided by HAL in its series Post-Print with number hal-01345316.

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Date of creation: 2015
Publication status: Published in Revue française d'économie, 2015, xxx (3), pp.95-141.
Handle: RePEc:hal:journl:hal-01345316
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01345316
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