THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER

Detalhes bibliográficos
Autor(a) principal: Brandi, Vinicius Ratton
Data de Publicação: 2021
Outros Autores: de Andrade, Joaquim Pinto
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/79822
Resumo: The international financial crisis of 2008 has made clear that the academicdebate should incorporate financial frictions to investigate business cycle fluctuationsand allocative efficiency. At the financial regulation side, macroprudential measureshave gained a growing importance as an instrument in the search for financial stability.The main objective of this thesis consists in the evaluation of the role of specific macroprudential policies within a new keynesian model incorporating a financial system withfrictions and adjustment costs estimated with Brazilian data. Parameters are estimated based on bayesian methods and time series from the Brazilian economy. As a relativelynew literature, the debate is more populated by questions and challenges than by conclusive answers. In this broad debate, this work aims to contribute for the understanding of the effects of some macroprudential policy instruments over relevant macroeconomic and financial variables. In what concerns specifically the countercyclical capitalbuffer, the analysis is extended to evaluate its contributions to the objectives pursuedby the prudenctial authority and, also, its coordination with monetary authority ones.
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spelling THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFEREFETIVIDADE DA POLÍTICA MACROPRUDENCIAL: UM EXERCÍCIO COM BASE NO BUFFER CONTRACÍCLICODSGE. Políticas macroprudenciais. Regulação financeiraE5E6G2DSGE. Macroprudential policy. Financial regulationE5E6G2The international financial crisis of 2008 has made clear that the academicdebate should incorporate financial frictions to investigate business cycle fluctuationsand allocative efficiency. At the financial regulation side, macroprudential measureshave gained a growing importance as an instrument in the search for financial stability.The main objective of this thesis consists in the evaluation of the role of specific macroprudential policies within a new keynesian model incorporating a financial system withfrictions and adjustment costs estimated with Brazilian data. Parameters are estimated based on bayesian methods and time series from the Brazilian economy. As a relativelynew literature, the debate is more populated by questions and challenges than by conclusive answers. In this broad debate, this work aims to contribute for the understanding of the effects of some macroprudential policy instruments over relevant macroeconomic and financial variables. In what concerns specifically the countercyclical capitalbuffer, the analysis is extended to evaluate its contributions to the objectives pursuedby the prudenctial authority and, also, its coordination with monetary authority ones.Um dos elementos desestabilizadores da crise financeira internacional de2008 foi a amplificação de choques financeiros. A tendência natural dos agentes secomportarem de forma procíclica foi reforçada por meio de outros canais. Dessa forma,as medidas macroprudenciais ganharam maior destaque na busca pela estabilidadefinanceira. Este trabalho traz contribuições que buscam esclarecer os efeitos de determinados instrumentos de regulação macroprudencial sobre variáveis macroeconômicas e financeiras, com base em um modelo que introduz fricções na oferta de créditoem um arcabouço DSGE novo-keynesiano, estimado para a economia brasileira. Osresultados sugerem uma maior adequação do instrumento de política macroprudencial contracíclico no caso de choques que se originam no próprio sistema financeiroe choques de política monetária. No caso dos choques de oferta e de demanda, autilização do instrumento prudencial revela, na maioria das vezes, papel conflitanteaos objetivos da autoridade monetária e resultado não conclusivo a respeito dos benefícios sobre a estabilidade financeira. Na comparação entre os diferentes conceitos deciclo econômico, observa-se que uma maior cooperação da autoridade prudencial emrelação aos objetivos da política monetária é proporcionada quando se utiliza a relaçãoentre crédito e produto como referência para o acompanhamento do ciclo econômico.UFRGS2021-06-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/7982210.22456/2176-5456.79822Análise Econômica; Vol. 39 No. 79 (2021): Junho/2021Análise Econômica; v. 39 n. 79 (2021): Junho/20212176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/79822/64823Copyright (c) 2021 Análise Econômicainfo:eu-repo/semantics/openAccessBrandi, Vinicius Rattonde Andrade, Joaquim Pinto2021-10-07T00:59:24Zoai:seer.ufrgs.br:article/79822Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2021-10-07T00:59:24Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
EFETIVIDADE DA POLÍTICA MACROPRUDENCIAL: UM EXERCÍCIO COM BASE NO BUFFER CONTRACÍCLICO
title THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
spellingShingle THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
Brandi, Vinicius Ratton
DSGE. Políticas macroprudenciais. Regulação financeira
E5
E6
G2
DSGE. Macroprudential policy. Financial regulation
E5
E6
G2
title_short THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
title_full THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
title_fullStr THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
title_full_unstemmed THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
title_sort THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER
author Brandi, Vinicius Ratton
author_facet Brandi, Vinicius Ratton
de Andrade, Joaquim Pinto
author_role author
author2 de Andrade, Joaquim Pinto
author2_role author
dc.contributor.author.fl_str_mv Brandi, Vinicius Ratton
de Andrade, Joaquim Pinto
dc.subject.por.fl_str_mv DSGE. Políticas macroprudenciais. Regulação financeira
E5
E6
G2
DSGE. Macroprudential policy. Financial regulation
E5
E6
G2
topic DSGE. Políticas macroprudenciais. Regulação financeira
E5
E6
G2
DSGE. Macroprudential policy. Financial regulation
E5
E6
G2
description The international financial crisis of 2008 has made clear that the academicdebate should incorporate financial frictions to investigate business cycle fluctuationsand allocative efficiency. At the financial regulation side, macroprudential measureshave gained a growing importance as an instrument in the search for financial stability.The main objective of this thesis consists in the evaluation of the role of specific macroprudential policies within a new keynesian model incorporating a financial system withfrictions and adjustment costs estimated with Brazilian data. Parameters are estimated based on bayesian methods and time series from the Brazilian economy. As a relativelynew literature, the debate is more populated by questions and challenges than by conclusive answers. In this broad debate, this work aims to contribute for the understanding of the effects of some macroprudential policy instruments over relevant macroeconomic and financial variables. In what concerns specifically the countercyclical capitalbuffer, the analysis is extended to evaluate its contributions to the objectives pursuedby the prudenctial authority and, also, its coordination with monetary authority ones.
publishDate 2021
dc.date.none.fl_str_mv 2021-06-27
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/79822
10.22456/2176-5456.79822
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/79822
identifier_str_mv 10.22456/2176-5456.79822
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/79822/64823
dc.rights.driver.fl_str_mv Copyright (c) 2021 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2021 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 39 No. 79 (2021): Junho/2021
Análise Econômica; v. 39 n. 79 (2021): Junho/2021
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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