Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions

Detalhes bibliográficos
Autor(a) principal: Divino, José Angelo
Data de Publicação: 2015
Outros Autores: Kornelius, Alexandre
Tipo de documento: Artigo
Idioma: por
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/110725
Resumo: This paper modifies the DSGE model of Gertler & Karadi (2011), which includes financial frictions on the balance sheet of the financial intermediaries, to introduce reserve requirements that must be held at the Monetary Authority and a confidence shock in the financial system. We analyzed the impacts of those changes on the transmission channels of the monetary policy. The results indicate that the presence of reserve requirements amplifies the transmission of monetary policy by the credit channel, increasing the leverage of banks when the interest rate falls and decreasing otherwise. The decline in the credit level when the interest rate is increased can be counterbalanced by a macroprudential policy that adjusts the reserve requirements based on a rule which depends on deviations of the credit from the steady state. However, reserve requirements should not replace the interest rate as the most adequate monetary policy instrument for inflation stabilization
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spelling Monetary Policy and Reserve Requirement in a DSGE Model with Financial FrictionsPolítica monetária e compulsório em um modelo DSGE com fricções financeirasFinancial frictionsMonetary policyReserve requirementsMacroprudential policyFricções financeirasPolítica monetáriaCompulsórioPolítica macroprudencial.This paper modifies the DSGE model of Gertler & Karadi (2011), which includes financial frictions on the balance sheet of the financial intermediaries, to introduce reserve requirements that must be held at the Monetary Authority and a confidence shock in the financial system. We analyzed the impacts of those changes on the transmission channels of the monetary policy. The results indicate that the presence of reserve requirements amplifies the transmission of monetary policy by the credit channel, increasing the leverage of banks when the interest rate falls and decreasing otherwise. The decline in the credit level when the interest rate is increased can be counterbalanced by a macroprudential policy that adjusts the reserve requirements based on a rule which depends on deviations of the credit from the steady state. However, reserve requirements should not replace the interest rate as the most adequate monetary policy instrument for inflation stabilizationEste artigo modifica o modelo DSGE de Gertler & Karadi (2011), que inclui fricção sobre o balanço dos intermediários financeiros, para introduzir a exigência de recolhimentos compulsórios pela Autoridade Monetária e um choque de confiança dos depositantes no sistema financeiro. Os impactos dessas mudanças sobre os canais de transmissão da política monetária são analisados. Os resultados indicam que a presença de compulsório amplifica a transmissão da política monetária pelo canal do crédito, aumentando a alavancagem dos bancos quando há uma queda nos juros e diminuindo caso contrário. A diminuição do crédito quando os juros aumentam pode ser contrabalanceada por uma política macroprudencial de ajuste do nível de compulsório baseada em uma regra que depende de desvios do crédito no estado estacionário. O compulsório não deve, porém, substituir a taxa de juros como o instrumento de política monetária mais adequada para estabilizar a inflação.Universidade de São Paulo, FEA-RP/USP2015-12-09info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/11072510.11606/1413-8050/ea126946Economia Aplicada; Vol. 19 No. 4 (2015); 579-610Economia Aplicada; Vol. 19 Núm. 4 (2015); 579-610Economia Aplicada; v. 19 n. 4 (2015); 579-6101980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ecoa/article/view/110725/109151Copyright (c) 2016 Economia Aplicadainfo:eu-repo/semantics/openAccessDivino, José AngeloKornelius, Alexandre2020-08-03T15:53:45Zoai:revistas.usp.br:article/110725Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:17:04.493894Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
Política monetária e compulsório em um modelo DSGE com fricções financeiras
title Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
spellingShingle Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
Divino, José Angelo
Financial frictions
Monetary policy
Reserve requirements
Macroprudential policy
Fricções financeiras
Política monetária
Compulsório
Política macroprudencial.
title_short Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
title_full Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
title_fullStr Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
title_full_unstemmed Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
title_sort Monetary Policy and Reserve Requirement in a DSGE Model with Financial Frictions
author Divino, José Angelo
author_facet Divino, José Angelo
Kornelius, Alexandre
author_role author
author2 Kornelius, Alexandre
author2_role author
dc.contributor.author.fl_str_mv Divino, José Angelo
Kornelius, Alexandre
dc.subject.por.fl_str_mv Financial frictions
Monetary policy
Reserve requirements
Macroprudential policy
Fricções financeiras
Política monetária
Compulsório
Política macroprudencial.
topic Financial frictions
Monetary policy
Reserve requirements
Macroprudential policy
Fricções financeiras
Política monetária
Compulsório
Política macroprudencial.
description This paper modifies the DSGE model of Gertler & Karadi (2011), which includes financial frictions on the balance sheet of the financial intermediaries, to introduce reserve requirements that must be held at the Monetary Authority and a confidence shock in the financial system. We analyzed the impacts of those changes on the transmission channels of the monetary policy. The results indicate that the presence of reserve requirements amplifies the transmission of monetary policy by the credit channel, increasing the leverage of banks when the interest rate falls and decreasing otherwise. The decline in the credit level when the interest rate is increased can be counterbalanced by a macroprudential policy that adjusts the reserve requirements based on a rule which depends on deviations of the credit from the steady state. However, reserve requirements should not replace the interest rate as the most adequate monetary policy instrument for inflation stabilization
publishDate 2015
dc.date.none.fl_str_mv 2015-12-09
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://www.revistas.usp.br/ecoa/article/view/110725
10.11606/1413-8050/ea126946
url https://www.revistas.usp.br/ecoa/article/view/110725
identifier_str_mv 10.11606/1413-8050/ea126946
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/110725/109151
dc.rights.driver.fl_str_mv Copyright (c) 2016 Economia Aplicada
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2016 Economia Aplicada
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 19 No. 4 (2015); 579-610
Economia Aplicada; Vol. 19 Núm. 4 (2015); 579-610
Economia Aplicada; v. 19 n. 4 (2015); 579-610
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
_version_ 1800221695517130752

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