Exploring the Nexus between Macro-Prudential Policies and Monetary Policy Measures: Evidence from an Estimated DSGE Model for the Euro Area

46 Pages Posted: 27 Oct 2013

See all articles by Giacomo Carboni

Giacomo Carboni

European Central Bank (ECB)

Matthieu Darracq Paries

European Central Bank (ECB)

Christoffer Kok

European Central Bank (ECB)

Date Written: June 18, 2013

Abstract

The financial crisis highlighted the importance of systemic risks and of policies that can be employed to prevent and mitigate them. Several recent initiatives aim at establishing institutional frameworks for macro-prudential policy. As this process advances further, substantial uncertainties remain regarding the transmission channels of macro-prudential instruments as well as the interactions with other policy functions, and monetary policy in particular. This paper provides an overview and some illustrative model simulations using an estimated DSGE model for the euro area of the macroeconomic interdependence between macro-prudential instruments and monetary policy.

Keywords: DSGE models, Bayesian estimation, Banking, Financial regulation, macro-prudential policy, monetary policy

JEL Classification: E4, E5, F4

Suggested Citation

Carboni, Giacomo and Darracq Paries, Matthieu and Kok, Christoffer, Exploring the Nexus between Macro-Prudential Policies and Monetary Policy Measures: Evidence from an Estimated DSGE Model for the Euro Area (June 18, 2013). Becker Friedman Institute for Research in Economics Working Paper No. 2013-005. Available at SSRN: https://ssrn.com/abstract=2345392 or http://dx.doi.org/10.2139/ssrn.2345392

Giacomo Carboni

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Matthieu Darracq Paries

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany
+496913446631 (Phone)
+496913447604 (Fax)

Christoffer Kok (Contact Author)

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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