Template-Type: ReDIF-Paper 1.0

Author-Name: Eyno Rots
Author-X-Name-First: Eyno
Author-X-Name-Last: Rots
Author-Email: rotse@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (Central Bank of Hungary)

Author-Name: Barnabas Szekely
Author-X-Name-First: Barnabas
Author-X-Name-Last: Szekely
Author-Email: szekelyb@mnb.hu
Author-Workplace-Name: Goethe University


Title: A Model-Based Comparison of Macroprudential Tools
Abstract: We develop a DSGE model to analyze a macroprudential policy framework. We use it to describe the Hungarian economy and the key regulatory constraints implemented there: the loan-to-value and the debt-service-to-income caps imposed on mortgage borrowers and the minimum capital requirement imposed on banks. Our model is novel in the way it treats the borrowing caps as soft constraints, which makes it easy to analyze multiple non-redundant borrowing constraints. We also show an estimation strategy that involves a variation of impulse-response matching and accounts for the lack of historical data concerning the conduct of macroprudential policy, a common problem.
Length: 36 pages
Creation-Date: 2021
File-URL: https://www.mnb.hu/letoltes/wp-rots-szekely-2021.pdf
File-Format: Application/pdf
Number: 2021/3
Classification-JEL: E37, E44.
Keywords: DSGE, macroprudential, DSTI, LTV, capital requirement, Covid‐19.
Handle: RePEc:mnb:wpaper:2021/3