Macroprudential and monetary policy interactions in a DSGE model for Sweden /
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| Author / Creator: | Chen, Jiaqian, author, (IMF staff) |
|---|---|
| Imprint: | [Washington, D.C.] : International Monetary Fund, [2016] ©2016 |
| Description: | 1 online resource (58 pages) : color illustrations. |
| Language: | English |
| Series: | IMF working paper, 1018-5941 ; WP/16/74 IMF working paper ; WP/16/74. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12504844 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 No. 16/74eb | |
| 100 | 1 | |a Chen, Jiaqian, |e author, |e (IMF staff) | |
| 245 | 1 | 0 | |a Macroprudential and monetary policy interactions in a DSGE model for Sweden / |c prepared by Jiaqian Chen and Francesco Columba. |
| 264 | 1 | |a [Washington, D.C.] : |b International Monetary Fund, |c [2016] | |
| 264 | 4 | |c ©2016 | |
| 300 | |a 1 online resource (58 pages) : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/16/74 | |
| 500 | |a "March 2016." | ||
| 500 | |a At head of title: "European Department." | ||
| 504 | |a Includes bibliographical references (pages 57-58). | ||
| 520 | |a We analyse the effects of macroprudential and monetary policies and their interactions using an estimated dynamic stochastic general equilibrium (DSGE) model tailored to Sweden. Households face a ceiling on their loan-to-value ratio and must amortize their mortgages. The government grants mortgage interest payment deductions. Lending rates are affected by mortgage risk weights. We find that demand-side macroprudential measures are more effective in curbing household debt ratios than monetary policy, and they are less costly in terms of foregone consumption. A tighter macroprudential stance is also found to be welfare improving, by promoting lower consumption volatility in response to shocks, especially when using a combination of macroprudential instruments--Abstract. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed March 28, 2016). | |
| 505 | 0 | |a Cover; Contents; 1 Introduction; 2 The Swedish Housing Market; 3 The Model; 4 Calibration and Estimation; 5 Model Properties; 6 Exploring the impact of macroprudential policies; 7 Welfare optimal macroprudential policies; 8 Discussion and Robustness Checks; 9 Conclusion; Appendix; A Additional Tables and Figures; B The Model; C Data and Sources; List of Tables; 1 Calibrated parameters; 2 Steady state ratios; A1 Prior and posterior distribution of the structural parameters I; A2 Prior and posterior distribution of the structural parameters II; List of Figures. | |
| 505 | 8 | |a 1 Swedish household indebtedness and housing price expectations2 Household debt as share of disposable income; 3 Tax incentives for home ownership, 2013; 4 Housing stock to population; 5 Interest rate fixation periods for Swedish mortgages; 6 Spread between mortgage interest rates and bond yields; 7 Swedish household indebtedness and housing price expectations; 8 Monetary policy shock; 9 Impacts from a permanent reduction in LTV: 85 ₂!80; 10 Impacts from a permanent change in amortization requirement: 50 ₂!45; 11 Impacts from a reduction in mortgage tax deductibility: 30 ₂!25. | |
| 505 | 8 | |a 12 Households' consumption responses from a reduction in mortgage tax de-ductibility: 30 ₂!2513 Impacts from a increase in mortgage risk weights: 25 ₂!30; 14 Welfare: loan-to-value ratio; 15 Welfare: amortization; 16 Welfare: tax deductibility on mortgage interest repayments; 17 Welfare: mortgage risk weights; 18 Household debt: mortgage risk weights; 19 Welfare: interaction between amortization requirements and LTV; 20 Welfare: amortization requirement; 21 Welfare: interaction between mortgage tax deductibility and LTV I; 22 Welfare: interaction between mortgage tax deductbility and LTV II. | |
| 505 | 8 | |a 23 Aggregate of saver's and borrower's utilities: interaction between amortization requirements and LTV24 Household debt over amortization requirements and LTV; A1 Prior and posterior distribution of estimated parameters. | |
| 650 | 0 | |a Monetary policy |z Sweden |x Econometric models. | |
| 650 | 0 | |a Financial risk management |z Sweden |x Econometric models. | |
| 650 | 0 | |a Housing |z Sweden |x Econometric models. | |
| 650 | 0 | |a Mortgages |z Sweden |x Econometric models. | |
| 650 | 0 | |a Housing |x Prices |z Sweden |x Econometric models. | |
| 650 | 6 | |a Politique monétaire |z Suède |x Modèles économétriques. | |
| 650 | 6 | |a Finances |x Gestion du risque |z Suède |x Modèles économétriques. | |
| 650 | 6 | |a Hypothèques |z Suède |x Modèles économétriques. | |
| 650 | 6 | |a Logement |x Prix |z Suède |x Modèles économétriques. | |
| 650 | 7 | |a Housing |x Econometric models. |2 fast |0 (OCoLC)fst00962272 | |
| 650 | 7 | |a Housing |x Prices |x Econometric models. |2 fast |0 (OCoLC)fst00962327 | |
| 650 | 7 | |a Monetary policy |x Econometric models. |2 fast |0 (OCoLC)fst01025234 | |
| 650 | 7 | |a Mortgages |x Econometric models. |2 fast |0 (OCoLC)fst01026646 | |
| 651 | 7 | |a Sweden. |2 fast |0 (OCoLC)fst01204537 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Columba, Francesco, |e author. | |
| 710 | 2 | |a International Monetary Fund. |b European Department, |e issuing body. | |
| 830 | 0 | |a IMF working paper ; |v WP/16/74. | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2016/074/001.2016.issue-074-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 No. 16/74eb |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2016/074/001.2016.issue-074-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12149178 | ||