Mitigating the Cost of Stricter Macroprudential Policies

Loading...
Thumbnail Image
Date
2019
Authors
Dadashova, Pervin
Jonsson, Magnus
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
We examine how to implement macroprudential policies – stricter capital requirements and loan-tovalue limits – in order to mitigate the output loss of corporate debt deleveraging. The analysis is performed in a dynamic general equilibrium model calibrated to fit the U.S. economy. Stricter capital requirements are generally costlier in terms of output losses than stricter loan-to-value limits. For both instruments, the output loss is a convex function of the debt-to-GDP ratio. Finally, the output loss can be significantly reduced by implementing the requirements gradually, and by activating a countercyclical capital buffer.
Description
Keywords
capital requirements, loan-to-value requirements, output loss, gradual implementation, working papers
Citation
Dadashova P. A. Mitigating the Cost of Stricter Macroprudential Policies : [working papers] / P. Dadashova, M. Jonsson ; National Bank of Ukraine - Kyiv : [National Bank of Ukraine], 2019. - 20 p.