Cross-border regulatory spillovers and macroprudential policy coordination

• 成果类型: Article
• 署名作者: Agenor, Pierre-Richard; Jackson, Timothy P.; da Silva, Luiz A. Pereira
• 署名单位: University of Manchester; University of Liverpool; University of Tokyo
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103582
• 发表日期: 2024
• 关键词: Regulatory spillovers; Macroprudential policy; COOPERATION

摘要

We develop a core-periphery model with financial frictions and cross-border banking to assess the magnitude of regulatory spillovers and the gains from macroprudential policy coordination. A core global bank lends to its affiliates in the periphery and banks in both regions are subject to risk-sensitive capital regulation. Following an expansionary monetary policy in the core, a countercyclical response in capital requirements in that region induces the global bank to increase cross-border lending. We calculate welfare gains associated with countercyclical capital buffers under a range of policy regimes, including independent policymaking, full coordination, and reciprocity-a regime in which capital ratios set in the core are imposed on the global bank's affiliates abroad. One of our key results is that, even when regulatory spillovers are strong, reciprocity can make all parties better off if regulators attach a sufficient weight to financial stability considerations. With a standard, utility-based welfare criterion, reciprocity may also perform better than independent policymaking when regulatory spillovers are weak.