Fundamentals news, global liquidity and macroprudential policy

• 成果类型: Article; Proceedings Paper
• 署名作者: Bianchi, Javier; Liu, Chenxin; Mendoza, Enrique G.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; National Bureau of Economic Research; University of Wisconsin System; University of Wisconsin Madison; University of Pennsylvania
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.12.006
• 发表日期: 2016
• 页码: S2-S15
• 关键词: Financial crises; Macroprudential policy; Systemic risk; Global liquidity; news shocks

摘要

We study optimal macroprudential policy in a model in which unconventional shocks, in the form of news about future fundamentals and regime changes in world interest rates, interact with collateral constraints in driving the dynamics of financial crises. These shocks strengthen incentives to borrow in good times (i.e. when good news about future fundamentals coincide with a low-world-interest-rate regime), thereby increasing vulnerability to crises and enlarging the pecuniary externality due to the collateral constraints. Quantitatively, an optimal schedule of macroprudential debt taxes can lower the frequency and magnitude of financial crises, but the policy is complex because it features significant variation across interest-rate regimes and news realizations. (C) 2015 Elsevier B.V. All rights reserved.