Arbeitspapier
Countercyclical capital regulation in a small open economy DSGE model
We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations originating in the housing market and fluctuations caused by foreign demand shocks. The trade-off disappears if the regulator targets house prices instead. As a result, the optimal simple CCyB rule depends only on the house price but not the credit gap. Moreover, the optimal simple rule leads to significant welfare gains compared to the no CCyB case.
- ISBN
-
978-92-899-3249-3
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2144
- Klassifikation
-
Wirtschaft
Open Economy Macroeconomics
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Financial Institutions and Services: Government Policy and Regulation
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
- Thema
-
bank capital
countercyclical capital regulation
housing bubbles
boom-and-bust
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lozej, Matija
Onorante, Luca
Rannenberg, Ansgar
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2018
- DOI
-
doi:10.2866/807985
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lozej, Matija
- Onorante, Luca
- Rannenberg, Ansgar
- European Central Bank (ECB)
Entstanden
- 2018
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