Auteurs Centres de recherche Disciplines et Collections Projets
Français English
 
 

Taming macroeconomic instability: Monetary and macro prudential policy interactions in an agent-based model

 

Notice

Type:   Working paper
 
Titre:   Taming macroeconomic instability: Monetary and macro prudential policy interactions in an agent-based model
 
Auteur(s):   Popoyan, Lilit - Laboratory of Economics and Management (Pisa) (Auteur)
Napoletano, Mauro (1977-...) - Observatoire français des conjonctures économiques (Auteur)
Roventini, Andrea - Laboratory of Economics and Management (Auteur)
 
Date de publication:   2015-12
 
Éditeur:   Paris  :  Observatoire français des conjonctures économiques
 
Collection:   Working paper de l'OFCE  :  2015-32
 
Mots-clés:   [en] Macro prudential policy, Basel III regulation, Financial stability, Monetary policy, Agent-based computational economics
 
JEL:   C63,  E52,  E6,  G1,  G21,  G28
 
Résumé:   [en] We develop an agent-based model to study the macroeconomic impact of alternative macro prudential regulations and their possible interactions with different monetary policy rules.The aim is to shed light on the most appropriate policy mix to achieve the resilience of the banking sector and foster macroeconomic stability. Simulation results show that a triple-mandate Taylor rule, focused on output gap, inflation and credit growth, and a Basel III prudential regulation is the best policy mix to improve the stability of the banking sector and smooth output fluctuations. Moreover, we consider the dfferent levers of Basel III andtheir combinations. We find that minimum capital requirements and counter-cyclical capital buffers allow to achieve results close to the Basel III first-best with a much more simplifiedregulatory framework. Finally, the components of Basel III are non-additive: the inclusionof an additional lever does not always improve the performance of the macro prudentialregulation.
 
URL:   http://www.ofce.sciences-po.fr/pdf/dtravail/WP2015-32.pdf
 
 

Fichiers

Version Format Fichier Taille
Version de l'éditeur wp2015-32.pdf 1,14 MB