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| Leonardo Nogueira Ferreira and Márcio Issao Nakane |
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| ''Macroprudential policy in a DSGE model: anchoring the countercyclical capital buffer'' |
| ( 2018, Vol. 38 No.4 ) |
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| This paper focuses on the choice of the variable to which the macroprudential instrument must respond - the anchor variable. We input different macroprudential rules into the DSGE with a banking sector proposed by Gerali et al. (2010), and estimate its key parameters using Bayesian techniques applied to Brazilian data. We then rank the results using the unconditional expectation of lifetime utility as of time zero. |
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| Keywords: Macroprudential Policy, Basel III, Capital Buffer, Anchor Variable |
JEL: E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit: General
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| Manuscript Received : Jun 06 2018 | | Manuscript Accepted : Dec 10 2018 |
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