Suchergebnisse

This article uses historical fact as a natural experiment to measure a country's welfare loss from shifting from an allowed to a restricted trade situation, based on international trade theory. A welfare loss of 8 per cent of GDP is found. The evolution of domestic import and export prices in Spain in 1940–58 fits international trade theory assumptions. The main years of autarky are not those commonly considered, but 1947–55, marked by the exclusion of Spain from the Marshall Plan and the Madrid Treaty between Franco's regime and the US. The upper‐bound welfare loss for 1947–55 is 26 per cent of GDP.

In this paper, we take as a baseline a dynamic stochastic general equilibrium (DSGE) model, which features a housing market, borrowers, savers and banks, in order to evaluate the welfare and macroeconomic effects of the new fixed capital requirements in the Basel accords. Our results show that the higher capital requirements imposed by Basel I, II and III decrease both the quantity of borrowing and its variability, producing distributional welfare effects among agents: savers are better off, but borrowers and banks are worse off. Then, we propose a macroprudential rule for the countercyclical capital buffer of Basel III in which capital requirements respond to credit growth, output and housing prices. We find that the optimal implementation of Basel III is countercyclical for borrowers and banks, the agents directly affected by capital requirements, while procyclical for savers. From a normative perspective, we see that this macroprudential rule for Basel III delivers higher welfare for the society than a situation with no regulation. Keywords: Basel I, Basel II, Basel III, banking regulation, welfare, banking supervision, macroprudential, capital requirement ratio, credit, countercyclical capital buffer.

In the aftermath of the global financial crisis, there is consensus on the need for macroprudential policies to promote financial stability. However, the optimal way to implement such policies in the Euro area is a question open to debate, given that countries have to coordinate. In this paper, we propose a two-country, two-sector monetary union dynamic stochastic general equilibrium model (DSGE) with housing to analyze the optimal implementation of macroprudential policies in the Euro area. Currently, Spain is the only country within the EU that has not established a macroprudential regulator. We use Spain as a natural experiment to study the effects of a lack of coordination in the use of macroprudential policies in the European Monetary Union (EMU). We focus on a particular macroprudential policy, a rule regarding the loan-to-value ratio, which responds countercyclically to credit booms. We find that such a policy is welfare enhancing for the Euro area. Nevertheless, if one country does not implement the policy, but the rest of the EMU does, as in the current situation with Spain, this country still yields some benefits as a result of its partners' implementation of the policy because it gains from a more stable financial system without incurring any output costs. However, if all Euro countries actively implement the policy, the welfare gains for all of them are larger.

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.

On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on "Property prices and real estate financing in a turbulent world." The papers included in this SUERF Study are based on contributions to the conference.