Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/183326
Authors: 
Lozej, Matija
Onorante, Luca
Rannenberg, Ansgar
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2144
Abstract: 
We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations originating in the housing market and fluctuations caused by foreign demand shocks. The trade-off disappears if the regulator targets house prices instead. As a result, the optimal simple CCyB rule depends only on the house price but not the credit gap. Moreover, the optimal simple rule leads to significant welfare gains compared to the no CCyB case.
Subjects: 
bank capital
countercyclical capital regulation
housing bubbles
boom-and-bust
JEL: 
F41
G21
G28
E32
E44
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3249-3
Document Type: 
Working Paper

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