宏观审慎政策、不完全信息与不平等:以低收入和发展中国家为例

Filiz Unsal, Margarita Rubio
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引用次数: 6

摘要

在本文中,我们使用DSGE模型来研究当政策制定者拥有嘈杂和滞后的数据时,宏观审慎政策的被动和时变实施,正如低收入和发展中国家(lidc)普遍观察到的那样。该模型的特点是经济中有两个代理人;家庭和企业家。企业家是这种经济中的借款人,需要资本作为抵押来获得贷款。宏观审慎监管机构将抵押品要求作为政策工具。在此设置中,我们比较了永久增加抵押品要求(被动政策)与响应信贷发展的时变(主动)政策的政策表现。结果表明,在信息完善和及时的情况下,积极的方法在提供金融稳定方面更有效,而且没有长期产出成本。如果政策制定者无法完美地观察经济状况或观察滞后,则可能更倾向于采取谨慎(不那么激进)的政策,甚至是被动的做法。然而,后者是以不平等加剧和长期产出成本为代价的。因此,结果表明,需要更仔细地考虑被动政策,这通常是为低收入国家提倡的。
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Macroprudential Policy, Incomplete Information and Inequality: The Case of Low-Income and Developing Countries
In this paper, we use a DSGE model to study the passive and time-varying implementation of macroprudential policy when policymakers have noisy and lagged data, as commonly observed in lowincome and developing countries (LIDCs). The model features an economy with two agents; households and entrepreneurs. Entrepreneurs are the borrowers in this economy and need capital as collateral to obtain loans. The macroprudential regulator uses the collateral requirement as the policy instrument. In this set-up, we compare policy performances of permanently increasing the collateral requirement (passive policy) versus a time-varying (active) policy which responds to credit developments. Results show that with perfect and timely information, an active approach is welfare superior, since it is more effective in providing financial stability with no long-run output cost. If the policymaker is not able to observe the economic conditions perfectly or observe with a lag, a cautious (less aggressive) policy or even a passive approach may be preferred. However, the latter comes at the expense of increasing inequality and a long-run output cost. The results therefore point to the need for a more careful consideration toward the passive policy, which is usually advocated for LIDCs.
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