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Master's Dissertation
DOI
10.11606/D.12.2013.tde-22012014-152834
Document
Author
Full name
Leonardo Nogueira Ferreira
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2013
Supervisor
Committee
Nakane, Márcio Issao (President)
Costa, Sílvio Michael de Azevedo
Rodrigues Junior, Mauro
Title in Portuguese
Medidas macroprudenciais em um modelo DSGE: ancorando o requerimento contracíclico de capital
Keywords in Portuguese
Bancos
Macroeconomia
Política monetária
Sistema financeiro
Abstract in Portuguese
A recente crise econômica internacional destacou a deficiência da estrutura regulatória então vigente no sistema financeiro. Desde então muitos trabalhos têm avaliado a introdução da política macroprudencial no arcabouço de um modelo DSGE. No entanto, seu foco primordial não tem sido na escolha da variável à qual o requerimento contracíclico de capital deve responder - a variável âncora. A fim de preencher essa lacuna, diferentes regras macroprudenciais foram introduzidas no modelo DSGE desenvolvido por Gerali et al. (2010) e os resultados foram comparados por meio de uma métrica de bem-estar. O crescimento do crédito foi a variável que apresentou melhor resultado.
Title in English
Macroprudential policy in a DSGE model: anchoring the countercyclical capital buffer
Keywords in English
Banks
Financial system
Macroeconomics
Monetary policy
Abstract in English
The recent crisis highlighted the deficiency of the regulatory framework in place then. Thenceforth many papers have been assessing the introduction of macroprudential policy in a DSGE model. However, they do not focus on the choice of the variable to which the countercyclical capital buffer must respond - the anchor variable. In order to fulfil this gap, we input different macroprudential rules into the DSGE proposed by Gerali et al. (2010), and then we sort the results using a measure of welfare. Credit growth is the variable that performs best.
 
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Publishing Date
2014-01-28
 
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