Optimal Macro-prudential Policies in a DSGE Model: The Case of Taiwan
Date Issued
2014
Date
2014
Author(s)
Li, Tsung-Hsien
Abstract
We develop a small open economy dynamic stochastic general equilibrium (DSGE) model featuring collateral constraint following Iacoviello and Neri (2010) and open economy framework à la Kollmann (2002). To investigate the optimal macro-prudential policy of the Taiwanese economy, several versions of interest rate rules and loan-to-value (LTV) ratio rules are discussed. This paper finds that the interest rate rule leaning against the wind of housing price has the best effect on mitigating the volatility of major macroeconomic variables and improving social welfare function, while the LTV rule responding to domestic credit has the best performance.
Subjects
Dynamic Stochastic General Equilibrium Model
Collateral Constraint
Monetary Policy
Macro-prudential Policy
Loan-to-value Ratio
Type
thesis
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ntu-103-R01323016-1.pdf
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