| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w18036 |
| 来源ID | Working Paper 18036 |
| Macro-Prudential Policy in a Fisherian model of Financial Innovation | |
| Javier Bianchi; Emine Boz; Enrique G. Mendoza | |
| 发表日期 | 2012-05-03 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | The interaction between credit frictions, financial innovation, and a switch from optimistic to pessimistic beliefs played a central role in the 2008 financial crisis. This paper develops a quantitative general equilibrium framework in which this interaction drives the financial amplification mechanism to study the effects of macro-prudential policy. Financial innovation enhances the ability of agents to collateralize assets into debt, but the riskiness of this new regime can only be learned over time. Beliefs about transition probabilities across states with high and low ability to borrow change as agents learn from observed realizations of financial conditions. At the same time, the collateral constraint introduces a pecuniary externality, because agents fail to internalize the effect of their borrowing decisions on asset prices. Quantitative analysis shows that the effectiveness of macro-prudential policy in this environment depends on the government's information set, the tightness of credit constraints and the pace at which optimism surges in the early stages of financial innovation. The policy is least effective when the government is as uninformed as private agents, credit constraints are tight, and optimism builds quickly. |
| 主题 | Microeconomics ; Welfare and Collective Choice ; Economics of Information ; Macroeconomics ; Business Cycles ; Money and Interest Rates ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w18036 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/575712 |
| 推荐引用方式 GB/T 7714 | Javier Bianchi,Emine Boz,Enrique G. Mendoza. Macro-Prudential Policy in a Fisherian model of Financial Innovation. 2012. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w18036.pdf（384KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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