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by Pierre-Richard Agenor (Author)
About the Author
Pierre-Richard Agénor is Hallsworth Professor of International Macroeconomics and Development Economics at the University of Manchester. He is the author of Development Macroeconomics (now in its fourth edition) and other books.
About this Book
An integrated analysis of how financial frictions can be accounted for in macroeconomic models built to study monetary policy and macroprudential regulation.
Since the global financial crisis, there has been a renewed effort to emphasize financial frictions in designing closed- and open-economy macroeconomic models for monetary and macroprudential policy analysis. Drawing on the extensive literature of the past decade as well as his own contributions, in this book Pierre-Richard Agénor provides a unified set of theoretical and quantitative macroeconomic models with financial frictions to explore issues that have emerged in the wake of the crisis. These include the need to understand better how the financial system amplifies and propagates shocks originating elsewhere in the economy; how it can itself be a source of aggregate fluctuations; the extent to which central banks should account for financial stability considerations in the conduct of monetary policy; whether national central banks and regulators should coordinate their policies to promote macroeconomic and financial stability; and how much countercyclical macroprudential policies should be coordinated at the international level to mitigate financial spillovers across countries.
Brief Contents
1 Financial Systems, Financial Frictions, and Macroeconomic Models
1.1 Banks and the Financial System
1.2 Credit Market Imperfections
1.3 Business Cycles and Financial Cycles
1.4 Financial Supervision and Regulation
1.5 Systemic Risk and Financial Fragility
1.6 Role of Macroprudential Regulation
1.7 Implications for Macroeconomic Models
1.8 DSGE Models as Exploratory Platforms
1.9 Modeling Approach
2 A Simple Closed-Economy Model with Financial Frictions
2.1 Exogenous Output
2.2 Endogenous Output and the Cost Channel
2.3 Default Premium and Monopolistic Competition
2.4 Macroprudential Regulation
2.5 Land as Portfolio Asset and Collateral
2.6 Notes on the Literature
Appendix Alternative Consumption Function
3 A Simple Dynamic Model with Financial Frictions
3.1 The Model
3.2 Solution and Steady State
3.3 Monetary and Macroprudential Policies
3.4 Endogenous Refinance Rate
3.5 Extensions
4 A Core Closed-Economy DSGE Model with Financial Frictions
4.1 The Model
4.2 Equilibrium Conditions
4.3 Steady State
4.4 Log-Linearization
4.5 Parameterization
4.6 Solution and Experiments
4.7 Sensitivity Analysis
4.8 Notes on the Literature
Appendix Calvo Pricing and Inflation Persistence
5 Reserve Requirements, Policy Evaluation, and Coordination
5.1 Background
5.2 Active Use of Reserve Requirements
5.3 Simple Countercyclical Rules
5.4 Optimal Simple Countercyclical Rules
5.5 Tinbergen’s Principle and Coordination
5.6 Results for a Credit Spread Shock
5.7 Ramsey Policy and Simple Rules
5.8 Notes on the Literature
6 Capital Requirements and Monetary Policy
6.1 Background
6.2 The Model
6.3 Equilibrium Conditions
6.4 Steady State and Log-Linearization
6.5 Parameterization
6.6 Experiment: Credit Spread Shock
6.7 Simple Policy Rules and Welfare
6.8 Results for a Credit Spread Shock
6.9 Notes on the Literature
Appendix Risk Weight Formulas under the IRB Approach
7 A Simple Open-Economy Model with Financial Frictions
7.1 Fixed Exchange Rates
7.2 Flexible Exchange Rates
7.3 Extensions
7.4 Notes on the Literature
8 A Core Open-Economy DSGE Model with Financial Frictions
8.1 The Model
8.2 Equilibrium and Steady State
8.3 Parameterization
8.4 Drop in the World Risk-Free Rate
8.5 Greater International Financial Integration
8.6 Notes on the Literature
Appendix Log-Linearized Equations
9 External Shocks, Macroprudential Regulation, and Capital Controls
9.1 Macroprudential Policy Responses
9.2 Capital Controls
9.3 Policy Combinations
9.4 Notes on the Literature
10 International Macroprudential Policy Coordination
10.1 Background
10.2 A Core-Periphery Model
10.3 Equilibrium and Steady State
10.4 Parameterization
10.5 Asymmetric Credit Spread Shocks
10.6 Gains from Coordination
10.7 Comparison with the Ramsey Policy
10.8 Notes on the Literature
Appendix Steady-State Solution and Welfare Calculations
11 Macroprudential Regulation and Economic Growth
11.1 Background
11.2 The Model
11.3 Optimal Financial Contract
11.4 Equilibrium Investment
11.5 Balanced Growth Equilibrium
11.6 Autonomous Policy Changes
11.7 Optimal Policy
11.8 Notes on the Literature
Epilogue
References
Name Index
Subject Index
ASIN : B084V7WQ1D
Publisher : The MIT Press (November 10, 2020)
Language : English
Pages : 584
MIT__Monetary Policy and Macroprudential Regulation with Financia Frictions.epub
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