Quotation Punzi, Maria Teresa, Rabitsch-Schilcher, Katrin. 2018. Effectiveness of macroprudential policies under borrower heterogeneity. Journal of International Money and Finance, 85, 251-261.


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Abstract

We study the impact of macroprudential policies using a novel model which takes into account households's ability to borrow under different loan-to-value ratios which are tied to their collateral values. Such model generates a larger amplification in real and financial variables, compared to standard models that assume homogeneity in the leveraging and deleveraging process. Conditional on this model, we consider the implications of macroprudential policies that aim to lean against an excessive credit cycle. In particular, we allow macroprudential authorities to tighten excessive lending to higher leveraged households, whose riskiness had been evaluated too optimistically. We find that a policy that targets only the group of households that most strongly deleveraged after an adverse idiosyncratic housing investment risk shock, is welfare-improving at social and individual levels, relative to a macroprudential policy which targets all households in the economy.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of International Money and Finance
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, STRAT-B, VW-B, WH-B
Language English
Title Effectiveness of macroprudential policies under borrower heterogeneity
Volume 85
Year 2018
Page from 251
Page to 261
Reviewed? Y
URL https://doi.org/10.1016/j.jimonfin.2017.11.008
DOI http://dx.doi.org/10.1016/j.jimonfin.2017.11.008
Open Access N
JEL E23; E32; E44

Associations

Projects
FinMaP: Financial Distortions and Macroeconomic Performance
People
Punzi, Maria Teresa (Former researcher)
Rabitsch-Schilcher, Katrin (Details)
Organization
Institute for International Economics and Development IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5300 Economics (Details)
5341 Economic policy (Details)
5343 Economic theory (Details)
5371 Macroeconomics (Details)
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