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Evaluating the Net Benefits of Macroprudential Policy.

Author: Nicolas Arregui; Jaromir Benes; Ivo Krznar; Srobona Mitra; Andre Santos
Publisher: Washington : International Monetary Fund, 2013.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The paper proposes a simple, new, analytical framework for assessing the cost and benefits of macroprudential policies. It proposes a measure of net benefits in terms of parameters that can be estimated: the probability of crisis, the loss in output given crisis, policy effectiveness in bringing down both the probability and damage during crisis, and the output-cost of a policy decision. It discusses three types of  Read more...
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Details

Genre/Form: Electronic books
Additional Physical Format: Print version:
Arregui, Nicolas.
Evaluating the Net Benefits of Macroprudential Policy: A Cookbook.
Washington : International Monetary Fund, ©2013
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nicolas Arregui; Jaromir Benes; Ivo Krznar; Srobona Mitra; Andre Santos
ISBN: 9781475525816 1475525818
OCLC Number: 867928195
Description: 1 online resource (74 pages).
Contents: Cover; Contents; I. Motivation; II. An Analytical Recipe: The Ingredients; Figures; 1. Structure of the Analytical Framework; 2. Policy Time Line; Tables; 1. Thresholds for Credit Growth; 3. Cost and Benefit in terms of output level-Schematic Representation; III. Analytical Building Blocks: Measurements; A. Baseline-No-Policy Expected Output; 4. United States: Time-varying Sensitivities of Real GDP forecast to Past Credit Growth; 5. Probability of Crisis and Early Warning Indicators-A Heattmap; 6. Crisis Cost; 7. Deriving a No-Policy Baseline: Some Measurements; B. Policy Response. 8. Baseline Expected Output2. Comparison of Policy Tools-Expected Effects on Balance Sheets and Prices; 9. Impact of Tightening of Macroprudential Policy Instruments on Intermediate Targets; 3. Effects of Policy Tightening: An Example; 10. Summary of Measurements; IV. Leakages; V. Summary and Policy Implications; Boxes; 1. Nonbank Lenders in the U.S.: Possibilities for Underestimating Systemic Risk; 2. Effects of Macroprudential Policies on Lending Rates: What to Expect; 3. Leakages through Direct Crossborder Lending: The Croatian Experience. 4. Leakages through Foreign Branches: Empirical Evidence from the UKAnnexes; 1. Other Studies on Costs and Benefits; 2. Signals Based on Two Different Thresholds for Bank Credit Aggregates; 3. An Output-Credit Forecasting Model; 4. Estimating the effect of intermediate targets on the cost of a financial crises; 5. Predicting the Probability of a Banking Crisis; 6. Effect of Macroprudential Policy Instruments on Intermediate Targets; References.
Series Title: IMF Working Papers.

Abstract:

The paper proposes a simple, new, analytical framework for assessing the cost and benefits of macroprudential policies. It proposes a measure of net benefits in terms of parameters that can be estimated: the probability of crisis, the loss in output given crisis, policy effectiveness in bringing down both the probability and damage during crisis, and the output-cost of a policy decision. It discusses three types of policy leakages and identifies instruments that could best minimize the leakages. Some rules of thumb for policymakers are provided.

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