Punzi, Maria Teresa, Rabitsch-Schilcher, Katrin. 2018. Effectiveness of macroprudential policies under borrower heterogeneity. Journal of International Money and Finance. 85, 251-261.
BibTeX
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.
Tags
Press 'enter' for creating the tagPublication'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
- Department of Economics DP (Details)
- Department of Economics (Kubin) (Details)
- Research areas (Ă–STAT Classification 'Statistik Austria')
- 5300 Economics (Details)
- 5341 Economic policy (Details)
- 5343 Economic theory (Details)
- 5371 Macroeconomics (Details)