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The tradeoffs in leaning against the wind

Author: François Gourio; A K Kashyap; Jae W Sim; National Bureau of Economic Research,
Publisher: Cambridge, Mass. : National Bureau of Economic Research, 2017.
Series: Working paper series (National Bureau of Economic Research), no. 23658.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Credit booms sometimes lead to financial crises which are accompanied with severe and persistent economic slumps. Does this imply that monetary policy should “lean against the wind” and counteract excess credit growth, even at the cost of higher output and inflation volatility? We study this issue quantitatively in a standard small New Keynesian dynamic stochastic general equilibrium model which includes a risk of  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: François Gourio; A K Kashyap; Jae W Sim; National Bureau of Economic Research,
OCLC Number: 1000306124
Notes: "August 2017"
Description: 1 online resource (43 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 23658.
Responsibility: François Gourio, Anil K. Kashyap, Jae Sim.

Abstract:

Credit booms sometimes lead to financial crises which are accompanied with severe and persistent economic slumps. Does this imply that monetary policy should “lean against the wind” and counteract excess credit growth, even at the cost of higher output and inflation volatility? We study this issue quantitatively in a standard small New Keynesian dynamic stochastic general equilibrium model which includes a risk of financial crisis that depends on “excess credit”. We compare monetary policy rules that respond to the output gap with rules that respond to excess credit. We find that leaning against the wind may be attractive, depending on several factors, including (1) the severity of financial crises; (2) the sensitivity of crisis probability to excess credit; (3) the volatility of excess credit; (4) the level of risk aversion.

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