Are collateral-constraint models ready for macroprudential policy design?

• 成果类型: Article
• 署名作者: Ottonello, Pablo; Perez, Diego J.; Varraso, Paolo
• 署名单位: University of Michigan System; University of Michigan; National Bureau of Economic Research; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103650
• 发表日期: 2022
• 关键词: Macroprudential policies; capital controls; Inefficient borrowing; collateral constraints; financial crises; sudden stops

摘要

We study the design of macroprudential policies based on quantitative collateral-constraint models. We show that the desirability of macroprudential policies critically depends on the specific form of collateral used in debt contracts: While inefficiencies arise when current prices affect collateral-a frequent benchmark used to guide policies-they do not when only future prices affect collateral. Since the microfoundations and quantitative predictions of models with future-price collateral constraints do not appear less plausible than those using current prices, we conclude that additional empirical research on whether and how contract design is variant to policy is important for the use of these models in macroprudential policy design.(c) 2022 Elsevier B.V. All rights reserved.