Countercyclical prudential tools in an estimated DSGE model

Files in this item
Name:
Countercyclical_prudential_too ...
Size:
4.312Mb
Format:
PDF
Compartir
Exportar citas
Exportar a Mendeley
Estadísticas
Editor
Elsevier
Date
2023
Abstract
We developed a dynamic stochastic general equilibrium (DSGE) model for a small, open economy with a banking sector and endogenous default to assess two macroprudential tools: countercyclical capital buffers (CCB) and dynamic provisions (DP). The model is estimated with data for Uruguay, where dynamic provisioning has existed since the early 2000s. Both tools force banks to build buffers, but DP seem to outperform the CCB in smoothing the cycle. We also find that the source of the shock affecting the financial system matters in assessing the relative performance of both tools. Given a positive external shock, the credit-to-GDP ratio decreases, which should discourage its use as an indicator variable to activate countercyclical regulation.
Tipo
Artículo
Derechos
Abierto
Versión
Publicada
En
Latin American Journal of Central Banking, vol. 4, n°3, 100095
Collections

The following license files are associated with this item:

Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional