Macrofinancial Modeling At Central Banks: Recent Developments and Future Directions
January 1, 2012
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Summary
This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.
Subject: Banking, Dynamic stochastic general equilibrium models, Econometric analysis, Economic forecasting, Economic theory, Financial frictions, Financial markets, Financial sector policy and analysis, Financial stability assessment, Interbank markets
Keywords: bank, bank capital channel, banking sector, capital, central bank, DSGE forecasting, Dynamic stochastic general equilibrium models, financial frictions, Financial stability assessment, interbank market, Interbank markets, lending bank, macroeconomic modeling, Monetary policy analysis, representative bank, transmission mechanism, WP
Pages:
39
Volume:
2012
DOI:
Issue:
021
Series:
Working Paper No. 2012/021
Stock No:
WPIEA2012021
ISBN:
9781463931834
ISSN:
1018-5941
