Managing credit booms and busts: A Pigouvian taxation approach

• 成果类型: Article
• 署名作者: Jeanne, Olivier; Korinek, Anton
• 署名单位: Johns Hopkins University; University of Virginia; University of Virginia
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.12.005
• 发表日期: 2019
• 页码: 2-17
• 关键词: Macroprudential regulation; Boom-bust cycles; financial crises; Pecuniary externalities; precautionary savings

摘要

The interaction between debt accumulation and asset prices magnifies credit booms and busts. Borrowers do not internalize these feedback effects and therefore suffer from excessively large booms and busts in both credit flows and asset prices. We show in a dynamic model that a time-consistent policymaker finds it optimal to internalize these externalities by imposing a Pigouvian tax on borrowing that is the product of three simple sufficient statistics. A numerical illustration shows that the optimal tax is countercyclical: it rises during booms but can be set to zero in busts when the financial constraint is binding. The optimal macroprudential tax is a non -trivial function of the environment. (C) 2018 Elsevier B.V. All rights reserved.