A Termometer for Macroprudential Policies
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.
|Date of creation:||04 Apr 2012|
|Contact details of provider:|| Postal: (011) 818-5811|
Web page: http://www.portalfea.fea.usp.br/economia/
More information through EDIRC
|Order Information:|| Email: |
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.:
- 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.
- 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.
- 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.
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 references are entirely missing, you can add them using this form.