Macroprudential and monetary policy rules: a welfare analysis
This paper studies the interaction between macroprudential and monetary policies, using a DSGE model with a housing market and collateral constraints. Monetary policy follows a standard Taylor rule for the interest rate. The macroprudential authority implements a Taylor-type rule for the loan-to-val...
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| Format: | Article |
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Wiley
2015
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| Online Access: | https://eprints.nottingham.ac.uk/29822/ |
| _version_ | 1848793859371302912 |
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| author | Rubio, Margarita Carrasco-Gallego, José A. |
| author_facet | Rubio, Margarita Carrasco-Gallego, José A. |
| author_sort | Rubio, Margarita |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper studies the interaction between macroprudential and monetary policies, using a DSGE model with a housing market and collateral constraints. Monetary policy follows a standard Taylor rule for the interest rate. The macroprudential authority implements a Taylor-type rule for the loan-to-value, ratio reacting to output and house prices. Results show that introducing the macroprudential rule or extending the interest-rate rule to respond to house prices increases welfare, since it enhances financial stability. However, for the optimal policy mix, when both policies act together, monetary policy should ensure price stability while the macroprudential authority should safeguard financial stability. |
| first_indexed | 2025-11-14T19:06:59Z |
| format | Article |
| id | nottingham-29822 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:06:59Z |
| publishDate | 2015 |
| publisher | Wiley |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-298222020-05-04T17:01:32Z https://eprints.nottingham.ac.uk/29822/ Macroprudential and monetary policy rules: a welfare analysis Rubio, Margarita Carrasco-Gallego, José A. This paper studies the interaction between macroprudential and monetary policies, using a DSGE model with a housing market and collateral constraints. Monetary policy follows a standard Taylor rule for the interest rate. The macroprudential authority implements a Taylor-type rule for the loan-to-value, ratio reacting to output and house prices. Results show that introducing the macroprudential rule or extending the interest-rate rule to respond to house prices increases welfare, since it enhances financial stability. However, for the optimal policy mix, when both policies act together, monetary policy should ensure price stability while the macroprudential authority should safeguard financial stability. Wiley 2015-01-02 Article PeerReviewed Rubio, Margarita and Carrasco-Gallego, José A. (2015) Macroprudential and monetary policy rules: a welfare analysis. Manchester School, 83 (2). pp. 127-152. ISSN 1463-6786 Macroprudential Monetary Policy Collateral Constraint Credit Loan-to-Value Financial Stability House Prices http://onlinelibrary.wiley.com/doi/10.1111/manc.12078/full doi:10.1111/manc.12078 doi:10.1111/manc.12078 |
| spellingShingle | Macroprudential Monetary Policy Collateral Constraint Credit Loan-to-Value Financial Stability House Prices Rubio, Margarita Carrasco-Gallego, José A. Macroprudential and monetary policy rules: a welfare analysis |
| title | Macroprudential and monetary policy rules: a welfare analysis |
| title_full | Macroprudential and monetary policy rules: a welfare analysis |
| title_fullStr | Macroprudential and monetary policy rules: a welfare analysis |
| title_full_unstemmed | Macroprudential and monetary policy rules: a welfare analysis |
| title_short | Macroprudential and monetary policy rules: a welfare analysis |
| title_sort | macroprudential and monetary policy rules: a welfare analysis |
| topic | Macroprudential Monetary Policy Collateral Constraint Credit Loan-to-Value Financial Stability House Prices |
| url | https://eprints.nottingham.ac.uk/29822/ https://eprints.nottingham.ac.uk/29822/ https://eprints.nottingham.ac.uk/29822/ |