Macrofinancial Modeling At Central Banks: Recent Developments and Future Directions

Author/Editor:

Jan Vlcek ; Scott Roger

Publication Date:

January 1, 2012

Electronic Access:

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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.

Series:

Working Paper No. 2012/021

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

English

Publication Date:

January 1, 2012

ISBN/ISSN:

9781463931834/1018-5941

Stock No:

WPIEA2012021

Pages:

39

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