Mitigating the Cost of Stricter Macroprudential Policies
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Date
2019
Authors
Dadashova, Pervin
Jonsson, Magnus
Journal Title
Journal ISSN
Volume Title
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Abstract
We examine how to implement macroprudential policies – stricter capital requirements and loan-tovalue
limits – in order to mitigate the output loss of corporate debt deleveraging. The analysis is
performed in a dynamic general equilibrium model calibrated to fit the U.S. economy. Stricter capital
requirements are generally costlier in terms of output losses than stricter loan-to-value limits. For
both instruments, the output loss is a convex function of the debt-to-GDP ratio. Finally, the output
loss can be significantly reduced by implementing the requirements gradually, and by activating a
countercyclical capital buffer.
Description
Keywords
capital requirements, loan-to-value requirements, output loss, gradual implementation, working papers
Citation
Dadashova P. A. Mitigating the Cost of Stricter Macroprudential Policies : [working papers] / P. Dadashova, M. Jonsson ; National Bank of Ukraine - Kyiv : [National Bank of Ukraine], 2019. - 20 p.