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Summary of Research Bulletin 22: Summer 2015

Core Content

This Research Bulletin focuses on the integration of financial instability into macroeconomic models, emphasizing the development of new structural models to better understand and address the challenges posed by financial crises and macroprudential policies. The document outlines several key studies and models developed by the Macroprudential Research Network (MaRs) of the European System of Central Banks (ESCB), highlighting the importance of incorporating non-linearities, endogenous credit imbalances, and bank defaults into macroeconomic frameworks.

Main Views and Key Findings

• Financial instability in macroeconomic models: Traditional macroeconomic models have largely ignored financial sector instability, making them inadequate for analyzing financial crises. MaRs has made significant strides in integrating these features into macroeconomic models, particularly through the use of non-linear adjustments and endogenous credit imbalances.

• OMT announcements and yield curves: The European Central Bank's (ECB) Outright Monetary Transactions (OMT) announcements had a significant impact on the yield curves of certain euro area countries, notably Italy and Spain, where two-year bond yields fell by about 200 basis points. This suggests a positive effect on economic activity, prices, and loans.

• Financial transaction taxes (FTT): Interest in FTTs has resurged due to the recent financial crisis. However, the economic rationale for FTTs remains unclear. The article reviews the debate and presents empirical evidence from a policy experiment in France.

• Non-linear macroeconomic models: Models developed by MaRs, such as those by Dewachter and Wouters (2014), incorporate non-linearities to better capture financial instability's effects on the economy. These models use a local solution method that can handle non-linear constraints and provide more accurate results than linear approximations.

• Credit boom-bust cycles: Boissay et al. (2013) explain how bank debt funding liquidity can contribute to credit booms that eventually lead to busts and crises. These cycles are driven by moral hazard in the interbank market and the build-up of credit imbalances.

• Bank defaults and capital requirements: The 3D model developed by Clerc et al. (2015) incorporates an explicit treatment of bank defaults and evaluates the benefits and costs of capital requirements. It suggests that capital regulation can improve welfare by reducing excessive risk-taking and defaults, but also has costs due to its contractionary impact on credit provision.

• Shadow banking and multiple regulations: Goodhart et al. (2013) introduce a model that includes shadow banks and multiple financial frictions, enabling the analysis of how different macroprudential instruments interact. They show that regulatory measures such as loan-to-value (LTV) ratios and repo margins have complementary effects on financial stability.

• Interactions of macroprudential and monetary policies: The document emphasizes the need to consider the interactions between macroprudential and monetary policies for effective policy design. It highlights that policies should not be used in isolation, as they may offset each other or create unintended consequences.

Key Models and Their Contributions

• Model 1: Integrates early macro-financial instability theories into a DSGE model, examining tractable methods for solving non-linear models and their macroeconomic impact.
• Model 2: Focuses on the endogenous build-up and unravelling of credit imbalances, showing how non-linearities can lead to financial crises.
• Model 3 and 4: Incorporate widespread bank and borrower defaults into general equilibrium models and discuss optimal macroprudential policies, capturing both benefits and costs.
• 3D Model: A model that includes three sectors (banks, households, firms) with positive equilibrium default rates, emphasizing the role of capital regulation in mitigating financial instability.
• Shadow Banking Model: Analyzes the interactions between commercial and shadow banks, highlighting the importance of multiple regulatory instruments and their effects on financial stability.

Policy Implications

• Capital requirements: They can improve welfare by reducing bank and borrower defaults, but must be balanced against their contractionary effects on credit and economic activity.
• Regulatory instruments: Different macroprudential tools, such as LTV ratios and repo margins, can have similar effects on the economy and should be considered together to avoid unintended consequences.
• Systemic risk and financial stability: The integration of financial instability into macroeconomic models is essential for understanding the dynamics of financial crises and designing effective regulatory policies.

Conclusion

The MaRs research agenda and the models discussed in this bulletin provide a more comprehensive understanding of financial instability and its macroeconomic implications. They emphasize the importance of incorporating non-linearities, endogenous credit imbalances, and bank defaults into macroeconomic models to better inform macroprudential and monetary policy decisions. Future research should continue to explore these models and their applications to improve financial stability and economic resilience.