Cross-border spillovers of macroprudential policy in the Euro area
| Autor: | Jean-Marc Figuet, Cristina Badarau, Marcos Carias |
|---|---|
| Přispěvatelé: | Laboratoire d'analyse et de recherche en économie et finance internationales (Larefi), Université de Bordeaux (UB) |
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
050208 finance Member states 05 social sciences Monetary economics Basel III [SHS]Humanities and Social Sciences NK model Core (game theory) Spillover effect Capital (economics) 0502 economics and business New Keynesian economics Economics Interbank lending market 050207 economics Finance |
| Zdroj: | Quarterly Review of Economics and Finance Quarterly Review of Economics and Finance, Elsevier, 2020, 77, pp.1-13. ⟨10.1016/j.qref.2020.01.005⟩ |
| ISSN: | 1062-9769 |
| DOI: | 10.1016/j.qref.2020.01.005 |
| Popis: | Financial flows between heterogeneous member states were crucial drivers of the imbalances that culminated in the Euro crisis. Macroprudential instruments, by affecting the behavior of international banks, can have secondary effects on the financial cycles of other member states. However, countercyclical tools like the Basel III capital buffer are mostly set by independent authorities with national stabilization mandates. Should regulators coordinate macroprudential policy, and if so how? Using a small two-country NK model with financial frictions, we show that macroprudential responses in core economies can have destabilizing spillover effects on a financially dependent periphery through interbank lending. We subsequently evaluate a policy rule in which the core regulator internalizes these spillovers and compare it to prevailing national stabilization rule. While national rules deliver a good performance in general, under certain conditions internalization becomes preferable. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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