G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w27687
来源IDWorking Paper 27687
The Macroeconomic Effects of Macroprudential Policy: Evidence from a Narrative Approach
Diego Rojas; Carlos A. Vegh; Guillermo Vuletin
发表日期2020-08-17
出版年2020
语种英语
摘要We analyze the macroeconomic effects of macroprudential policy – in the form of legal reserve requirements – in three Latin American countries (Argentina, Brazil, and Uruguay). To correctly identify innovations in changes in legal reserve requirements, we develop a narrative approach – based on contemporaneous reports from the IMF and Central Banks in the spirit of Romer and Romer (2010) – that classifies each change into endogenous or exogenous to the business cycle. We show that this distinction is critical in understanding the macroeconomic effects of reserve requirements. In particular, we show that output falls in response to exogenous increases in legal reserve requirements but would seem not to be affected (or could even increase!) when using all changes and relying on traditional time-identifying strategies. This bias reflects the practical relevance of the misidentification of endogenous countercyclical changes in reserve requirements. We also push the empirical frontier along two important dimensions. First, in measuring legal reserve requirements, we take into account both the different types of legal reserve requirements in terms of maturity and currency of denomination as well as the structure of deposits. Second, since in practice reserve requirement policy is tightly linked to monetary policy, we also jointly analyze the macroeconomic effects of changes in central bank interest rates. To properly identify exogenous central bank interest rate shocks, we follow Romer and Romer (2004).
主题Macroeconomics ; Business Cycles ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics
URLhttps://www.nber.org/papers/w27687
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/585359
推荐引用方式
GB/T 7714
Diego Rojas,Carlos A. Vegh,Guillermo Vuletin. The Macroeconomic Effects of Macroprudential Policy: Evidence from a Narrative Approach. 2020.
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
w27687.pdf(995KB)智库出版物 限制开放CC BY-NC-SA浏览
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Diego Rojas]的文章
[Carlos A. Vegh]的文章
[Guillermo Vuletin]的文章
百度学术
百度学术中相似的文章
[Diego Rojas]的文章
[Carlos A. Vegh]的文章
[Guillermo Vuletin]的文章
必应学术
必应学术中相似的文章
[Diego Rojas]的文章
[Carlos A. Vegh]的文章
[Guillermo Vuletin]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w27687.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。