Taming macroeconomic instability: Monetary andmacro-prudential policy interactions in an agent-basedmodel
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- handle: 10670/1.9xq043
- hal: hal-03399574
- doi: 10.1016/j.jebo.2016.12.017
- SCIENCESPO: 2441/5hussro0tc951q0jqpu8quliqu
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Mots-clés
Macro-prudential policy Basel III regulation Financial stability Monetary policy Agent based computational economics C - Mathematical and Quantitative Methods/C.C6 - Mathematical Methods • Programming Models • Mathematical and Simulation Modeling/C.C6.C63 - Computational Techniques • Simulation Modeling E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary Policy E - Macroeconomics and Monetary Economics/E.E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook G - Financial Economics/G.G1 - General Financial Markets G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G21 - Banks • Depository Institutions • Micro Finance Institutions • Mortgages G - Financial Economics/G.G2 - Financial Institutions and Services/G.G2.G28 - Government Policy and RegulationSujets proches
Monetary management Banking Banking industry Commercial banks Agricultural banks Depository institutionsCiter ce document
Francesco Lamperti et al., « Taming macroeconomic instability: Monetary andmacro-prudential policy interactions in an agent-basedmodel », Archive ouverte de Sciences Po (SPIRE), ID : 10.1016/j.jebo.2016.12.017
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Résumé
We develop an agent-based model to study the macroeconomic impact of alternativemacro-prudential regulations and their possible interactions with different monetary policyrules. The aim is to shed light on the most appropriate policy mix to achieve the resilienceof the banking sector and foster macroeconomic stability. Simulation results show that atriple-mandate Taylor rule,focused onoutput gap, inflationand credit growth, and a BaselIIIprudential regulationis the bestpolicymix to improve the stability ofthe banking sector andsmooth output fluctuations. Moreover, we consider the different levers of Basel III and theircombinations. We find that minimum capital requirements and counter-cyclical capitalbuffers allow to achieve results close to the Basel III first-best with a much more simplifiedregulatory framework. Finally, the components of Basel III are non-additive: the inclusionof an additional lever does not always improve the performance of the macro-prudentialregulation.