Managing Macrofinancial Risk /

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of structura...

Cijeli opis

Bibliografski detalji
Glavni autor: Adrian, Tobias
Daljnji autori: Vitek, Francis
Format: Žurnal
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 2020.
Serija:IMF Working Papers; Working Paper ; No. 2020/151
Online pristup:Full text available on IMF
Opis
Sažetak:We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of structural shocks as functions of the business or financial cycle. The resultant heteroskedastic linearized DSGE model preserves the satisfactory simulation and forecasting performance of its nested homoskedastic counterpart for the conditional means of endogenous variables, while substantially improving its goodness of fit to their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for state dependent conditional heteroskedasticity makes it optimal for monetary policy to respond more aggressively to the business cycle, and for macroprudential policy to manage the resilience of the banking sector more actively over the financial cycle.
Opis djela:<strong>Off-Campus Access:</strong> No User ID or Password Required
<strong>On-Campus Access:</strong> No User ID or Password Required
Opis:1 online resource (60 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Pristup:Electronic access restricted to authorized BRAC University faculty, staff and students