Household debt, macroprudential rules, and monetary policy

Turdaliev, Nurlan; Zhang, Yahong

doi:10.1016/j.econmod.2018.09.001

Cited by 12 publications

(6 citation statements)

References 36 publications

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“…In line with the literature ( e.g . Quint and Rabanal, 2014; Bailliu et al ., 2015; Gelain and Ilbas, 2017; Turdaliev and Zhang, 2019), we first estimate the model using South African data to pin down the values of the parameters that are not standard in the literature and to capture the silent features of the South African economy. We then use the parameter estimates obtained from the estimation to conduct simulation exercises in the rest of the paper.…”

Section: Estimationmentioning

confidence: 99%

“…This finding is consistent with studies that advocate a separation of responsibilities for monetary and macroprudential policies, such as Svensson (2012), Gelain et al . (2013), Suh (2014), Svensson (2017) and Turdaliev and Zhang (2019).…”

Section: Introductionmentioning

confidence: 99%

“…(2017) and Adrian and Liang (2018) argue that monetary policy should aim to achieve the broader objective of overall economic stability rather than the narrower one of price stability alone. In contrast, Benes and Kumhof (2015), Tayler and Zilberman (2016) and Turdaliev and Zhang (2019) show that a monetary policy rule that reacts to financial imbalances causes welfare to deteriorate, irrespective of whether it is implemented in conjunction with macroprudential policy and irrespective of what kind of shock is hitting the economy.…”

Section: Introductionmentioning

confidence: 99%

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The Optimal Monetary and Macroprudential Policies for the South African Economy

Liu

Molise

2020

South African J Economics

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We investigate the optimal design and effectiveness of monetary and macroprudential policies in promoting macroeconomic (price) and financial stability for the South African economy. We develop a New Keynesian dynamic stochastic general equilibrium model featuring a housing market, a banking sector and the role of macroprudential and monetary policies. Based on the parameter estimates from the estimation, we conduct an optimal rule analysis and an efficient policy frontier analysis, and compare the dynamics of the model under different policy regimes. We find that a policy regime that combines a standard monetary policy rule and a macroprudential policy rule delivers a more stable economic system with price and financial stability. A policy regime that combines an augmented monetary policy (policy rate reacts to financial conditions) with macroprudential policy is better at attenuating the effects of financial shocks, but at a much higher cost of price instability. Our findings suggest that monetary policy should focus solely on its primary objective of price stability and let macroprudential policy facilitate financial stability on its own.

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Section: Estimationmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The Optimal Monetary and Macroprudential Policies for the South African Economy

Liu

Molise

2020

South African J Economics

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“…Impatient households are subject to an additional borrowing constraint. Depending on monetary policy and legal regulations, this translates into an increase in HHs debt [Zhang 2019;Turdaliev, Zhang 2019;Alpanda, Zubairy 2017]. Meng et al [2011] in the model of HHs debt as variables used: HHs debtseasonally adjusted quarterly data, measured as at the end of quarter (ii) gross domestic product (GDP) -seasonally adjusted quarterly data, (iii) consumer price index (CPI), (iv) house price index (HPI), (v) interest rate -quarterly average monthly data, (vi) unemployment rate -quarterly average monthly data, (vii) population size (quarterly estimated), (viii) number of new dwellings (houses and flats).…”

Section: Determinants Of Households Debtmentioning

confidence: 99%

Modelling of arrears in payments for dwelling using artificial neural networks

Jasiński¹,

Bochenek²

2020

Informatyka Ekonomiczna

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The study presents the construction process of a model that forecasts arrears in dwelling payments in individual municipalities in Poland depending on the values of economic data from previous years. This enables to estimate arrears that will arise in the investigated municipalities in the year of analysis. The model constructed on the basis of artificial neural networks, which is a tool from the area of artificial intelligence, was used to carry out forecasts. More than one hundred thousand networks with multilayer perceptron (MLP) and radial basis function (RBF) architectures were tested. The MAPE for prediction of the number of indebted dwellings in municipalities with at least 50 indebted premises was 6.08%. The correctness of forecasts in the area of the direction of changes of household debt in municipalities between 2014 and 2015 was 76.84%.

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“…In order to curb the rise in debt levels, the priority areas are the implementation of a monetary policy that responds to household debt and macroprudential policies. It is to reduce the borrowing limit ratio to its value (Turdaliev & Zhang, 2019).…”

Section: Literature Reviewmentioning

confidence: 99%

Features of the EU and Ukraine’s debt policy

Chugunov

Makohon

Markuts

2019

Investment Management and Financial Innovations

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The world economic globalization determines the feasibility of rethinking fiscal system knowledge on the formation and implementation of debt policy in the countries with transformation and advanced economies. In order to improve the system of public administration, the proper level of financing of innovation-investment projects, the important task is to improve the effectiveness of debt policy instruments and to ensure the consistency of its components. This article describes the essence of debt policy. The features of formation and implementation of the EU and Ukraine’s debt policy in the public administration system are defined in the context of institutional transformations. The authors assess the share of gross debt of the EU countries and the sovereign debt of Ukraine in GDP; conduct a regression analysis of the impact of public debt in GDP on real GDP growth in Ukraine. The article discusses the debt policy tasks, summarizes and systematizes the approaches to its implementation in different countries. The authors identify the features of public debt management strategies in terms of marginal indicators of the budget deficit, public debt, and instruments for improving the effectiveness of the public debt management system. The impact of debt policy on country’s financial and economic security is substantiated.

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Household debt, macroprudential rules, and monetary policy

Cited by 12 publications

References 36 publications

The Optimal Monetary and Macroprudential Policies for the South African Economy

The Optimal Monetary and Macroprudential Policies for the South African Economy

Modelling of arrears in payments for dwelling using artificial neural networks

Features of the EU and Ukraine’s debt policy

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