TY - UNPB
T1 - Effectiveness of macroprudential policies under borrower heterogeneity
AU - Punzi, Maria Teresa
AU - Rabitsch-Schilcher, Katrin
PY - 2017
Y1 - 2017
N2 - We study the impact of macroprudential policies using a novel model which takes into account households´ ability to borrow under different loan-to-value ratios which are tied to their collateral values. Such model generates a larger
amplification in real and financial variables, compared to standard models that assume homogeneity in the leveraging and deleveraging process. Conditional on this model, we consider the implications of macroprudential policies that aim to lean against an excessive credit cycle. In particular, we allow macroprudential authorities to tighten excessive lending to higher leveraged households, whose riskiness had been evaluated too optimistically. We find thata policy that targets only the group of households that most strongly deleveraged after an adverse idiosyncratic housing investment risk shock, is welfare-improving
at social and individual levels, relative to a macroprudential policy which targets all households in the economy.
AB - We study the impact of macroprudential policies using a novel model which takes into account households´ ability to borrow under different loan-to-value ratios which are tied to their collateral values. Such model generates a larger
amplification in real and financial variables, compared to standard models that assume homogeneity in the leveraging and deleveraging process. Conditional on this model, we consider the implications of macroprudential policies that aim to lean against an excessive credit cycle. In particular, we allow macroprudential authorities to tighten excessive lending to higher leveraged households, whose riskiness had been evaluated too optimistically. We find thata policy that targets only the group of households that most strongly deleveraged after an adverse idiosyncratic housing investment risk shock, is welfare-improving
at social and individual levels, relative to a macroprudential policy which targets all households in the economy.
UR - https://www.wu.ac.at/economics/forschung/wp/
U2 - 10.57938/b928c117-7666-492a-b879-b740d2b43700
DO - 10.57938/b928c117-7666-492a-b879-b740d2b43700
M3 - WU Working Paper
T3 - Department of Economics Working Paper Series
BT - Effectiveness of macroprudential policies under borrower heterogeneity
ER -