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1、MonetaryandMacroprudentialPoliciesinanEstimatedModelwithFinancialIntermediationPaoloGelainandPelinIlbasyMarch18,2014AbstractWeestimatetheSmetsandWouters(2007)modelaugmentedwiththeGertlerandKaradi(2011)…nancialintermediationsectoronUSdatabyusingrealand…nancialob-servable
2、s.Giventheframeworkoftheestimatedmodel,weaddressthequestionwhetherandhowstandardmonetarypolicyshouldinteractwithmacroprudentialpolicyinordertosafeguardrealand…nancialstability.Forthispurpose,monetarypolicyisdescribedbya?exiblein?ationtargetingregimeusingtheinterestrateas
3、instrument,whilethemacro-prudentialregulatoradoptsatax/subsidyonbankcapitalinacountercyclicalmannerinordertostabilizenominalcreditgrowthandtheoutputgap.Welookatthegainsfromcoordinationbetweenthecentralbankandthemacroprudentialregulatorunderalternativeassumptionsregarding
4、thedegreeofimportanceassignedtooutputgap?uctuationsinthemacroprudentialmandate.Theresultssuggestthattherecanbeconsiderablegainsfromcoordinationifthemacroprudentialregulatorhasbeenassignedasu￠cientlyhighweightonoutputgapstabilization,i.e.thecommonobjectivewithmonetarypoli
5、cy.If,ontheotherhand,themainfocusofthemacroprudentialmandateisoncreditgrowth,thegainsfromfullcoordinationarenotaligned,andthemacroprudentialpolicymakercanreachbetteroutcomes,whilethecentralbankdoesworse,intheabsenceofcoordination.Therefore,whetherandtowhichextentmonetary
6、policygainsfromcoordinationwiththemacro-prudentialregulatordependsontherelativeweightassignedtooutput?uctuationsinthemacroprudentialmandate.Ourcounterfactualanalysisfurthercon…rmsthee¤ectivenessofthecountercyclicalmacroprudentialtax/subsidyincontainingtheampli…catione¤ec
7、tstriggeredbya…nancialshock,andsuggeststhathavingamacroprudentialregulatorytoolatworkcouldhavesuccessfullyavoidedthemassivedropincreditsuchastheoneobservedattheonsetoftheGreatRecession.Keywords:Monetarypolicy,…nancialfrictions,macroprudentialpolicy,policycoordina-tion,ca
8、pitaltax/subsidy.JELCodes:E42,E44,E52,E58,E61NorgesBank.paolo.gelain@norges-bank.noyCorrespondingautho
