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A Termometer for Macroprudential Policies

  • Fabio Kanczuk

    ()

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.

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File URL: http://www.fea.usp.br/feaecon/RePEc/documentos/Kanczuk04WP.pdf
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Paper provided by University of São Paulo (FEA-USP) in its series Working Papers, Department of Economics with number 2012_04.

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Date of creation: 04 Apr 2012
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Handle: RePEc:spa:wpaper:2012wpecon04
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  1. 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.
  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.
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