Macrofinancial Modeling At Central Banks: Recent Developments and Future Directions

January 1, 2012

Preview Citation

Format: Chicago

Jan Vlcek, and Scott Roger. Macrofinancial Modeling At Central Banks: Recent Developments and Future Directions, (USA: International Monetary Fund, 2012) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

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

Publication Details

Pages:

39
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2012/021
Stock No:

WPIEA2012021
ISBN:

9781463931834
ISSN:

1018-5941

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