Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208294
Authors: 
Darracq Pariès, Matthieu
Kok Sørensen, Christoffer
Rancoita, Elena
Year of Publication: 
2019
Series/Report no.: 
ECB Working Paper No. 2260
Abstract: 
We analyse the interaction between monetary and macroprudential policies in the euro area by means of a two-country DSGE model with financial frictions and cross-border spillover effects. We calibrate the model for the four largest euro area countries (i.e. Germany, France, Italy, and Spain), with particular attention to the calibration of cross-country financial and trade linkages and country specific banking sector characteristics. We find that countercyclical macroprudential interventions are supportive of mon-etary policy conduct through the cycle. This complementarity is significantly reinforced when there are asymmetric financial cycles across the monetary union, which provides a case for targeted country-specific macroprudential policies to help alleviate the burden on monetary policy. At the same time, our findings point to the importance of taking into account cross-border spillover effects of macroprudential measures within the Monetary Union.
Subjects: 
monetary policy
macroprudential policy
DSGE
banking
JEL: 
E32
E44
E52
F36
F41
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3522-7
Document Type: 
Working Paper

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