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A Welfare Analysis of Macroprudential Policy Rules in the Euro Area

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  • Jean-Christophe Poutineau

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR1 - Université de Rennes 1 - UNIV-RENNES - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

  • Gauthier Vermandel

    (PSL - Université Paris sciences et lettres, LEDa - Laboratoire d'Economie de Dauphine - Université Paris Dauphine-PSL - PSL - Université Paris sciences et lettres)

Abstract

In an estimated DSGE model of the European Monetary Union that accounts for financial differences between core and peripheral countries, we find that country-adjusted macroprudential measures lead to significant welfare gains with respect to a uniform macroprudential policy rule that reacts to union wide financial developments. However, peripheral countries are the winners from the implementation of macroprudential measures while core countries incur welfare losses, thus questioning the interest of adopting coordinated macroprudential measures with peripheral countries.

Suggested Citation

  • Jean-Christophe Poutineau & Gauthier Vermandel, 2017. "A Welfare Analysis of Macroprudential Policy Rules in the Euro Area," Post-Print halshs-01315085, HAL.
  • Handle: RePEc:hal:journl:halshs-01315085
    DOI: 10.3917/redp.272.0191
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01315085v2
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    Keywords

    Bayesian Estimation; Macroprudential policy; DSGE Two-Country Model; Euro Area; Financial Accelerator;
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