Optimal Monetary and Prudential Policies

• 成果类型: Article
• 署名作者: Collard, Fabrice; Dellas, Harris; Diba, Behzad; Loisel, Olivier
• 署名单位: University of Bern; Georgetown University; Institut Polytechnique de Paris; ENSAE Paris
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140139
• 发表日期: 2017
• 页码: 40-87
• 关键词: Capital requirements; business-cycle; MODEL; taxation

摘要

The recent financial crisis has highlighted the interconnectedness between macroeconomic and financial stability, raising questions about how to combine monetary and prudential policies. This paper characterizes the jointly optimal monetary and prudential policies, setting the interest rate and bank-capital requirements. The source of financial fragility is the socially excessive risk taking by banks due to limited liability and deposit insurance. We provide conditions under which locally (Ramsey) optimal policy dedicates the prudential instrument to preventing inefficient risk taking by banks, and the monetary instrument to dealing with the business cycle, with the two instruments covarying either negatively, or positively and countercyclically. (JEL E32, E43, E44, E52, 601,021,028)