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标题：Assessing the costs and benefits of capital-based macroprudential policy
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作者：Markus Behn ; Marco Gross ; Tuomas Peltonen 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We develop an integrated Early Warning Global Vector Autoregressive (EW-GVAR) modelto quantify the costs and benets of capital-based macroprudential policy measures. Ourndings illustrate that capital-based measures are transmitted both via their impact on thebanking system's resilience and via indirect macro-nancial feedback eects. The feedbackeects relate to dampened credit and asset price growth and, depending on how banks moveto higher capital ratios, can account for up to a half of the overall eectiveness of capital-based measures. Moreover, we document signicant cross-country spillover eects, especiallyfor measures implemented in larger countries. Overall, our model helps to understand howand through which channels changes in capitalization aect bank lending and the wider econ-omy and can inform policy makers on the optimal calibration and timing of capital-basedmacroprudential instruments.
关键词：Macroprudential policy; cost-benet analysis; early-warning system; GVAR