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Abstract(s)
Tendo por base a literatura existente, é desenvolvido um modelo DSGE monetário, incluindo também intermediação financeira. Uma particularidade deste modelo é que possibilita ter em conta os esforços dos bancos para mitigar os riscos a que estão sujeitos, uma vez que podem emitir capital em vez de se financiarem com divida de curto prazo. A severidade de uma crise financeira irá, pois, depender da estrutura de capital dos bancos, endogenamente determinada. Com fricções financeiras que imponham restrições ao rácio de endividamento dos bancos, uma detioração do capital dos mesmos irá destabilizar a passagem de fundos dos credores para os devedores, aumentando os custos de financiamento, o que permite replicar as principais dinâmicas observadas na crise financeira de 2008-2009. Neste contexto, a introdução de uma política macroprudencial contra cíclica contribui para a estabilização dos preços dos ativos financeiros e dos spreads, mitigando os efeitos adversos de uma crise. De facto, obtém-se que a introdução de política macroprudencial gera aumentos de bem-estar significativos. Estes ocorrem, quer numa economia com preços flexíveis, quer caso sejam introduzidas rigidezes nominais. Interessantemente, os resultados apontam para a existência de sinergias positivas quando a política macroprudencial é combinada com política monetária, o que consiste num resultado de second best. As conclusões desta tese não se alteram após impor que a taxa de juro nominal não atinja valores negativos.
Relying on existing literature, a monetary DSGE model with financial intermediation is developed. A distinguishing feature of the model is that it is possible to take into account banks’ risk mitigation efforts since they can issue outside equity. The severity of a financial crisis will then depend on the riskiness of the endogenously determined banks’ balance sheet structure. With financial frictions imposing leverage constraints on banks, a deteoration of intermediary capital will disrupt lending and borrowing in a way that raises credit costs, replicating the some of the basic features of the 2008-2009 financial crisis. In this context, a countercyclical macroprudential policy that effectively increases banks’ equity during recessions, can stabilize asset prices and credit spreads, mitigating the severity of a crisis. Indeed, it is shown that the introduction of macroprudential policy leads to significant welfare gains. These occur both in an economy with flexible prices and in an economy with nominal rigidities. Interestingly, the results suggest that there are positive synergies in case the macroprudential policy is combined with standard monetary policy, which is a second best result. Furthermore, the welfare benefits persist when the zero lower bound on nominal rates is a binding restriction.
Relying on existing literature, a monetary DSGE model with financial intermediation is developed. A distinguishing feature of the model is that it is possible to take into account banks’ risk mitigation efforts since they can issue outside equity. The severity of a financial crisis will then depend on the riskiness of the endogenously determined banks’ balance sheet structure. With financial frictions imposing leverage constraints on banks, a deteoration of intermediary capital will disrupt lending and borrowing in a way that raises credit costs, replicating the some of the basic features of the 2008-2009 financial crisis. In this context, a countercyclical macroprudential policy that effectively increases banks’ equity during recessions, can stabilize asset prices and credit spreads, mitigating the severity of a crisis. Indeed, it is shown that the introduction of macroprudential policy leads to significant welfare gains. These occur both in an economy with flexible prices and in an economy with nominal rigidities. Interestingly, the results suggest that there are positive synergies in case the macroprudential policy is combined with standard monetary policy, which is a second best result. Furthermore, the welfare benefits persist when the zero lower bound on nominal rates is a binding restriction.
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Keywords
Macroprudential policy Financial frictions Credit spreads Monetary policy Financial crisis Política macroprudencial Fricções financeiras Spreads Política monetária Crises financeiras