TAILIEUCHUNG - Financial Markets, Monetary Policy and Reference Rates: Assessments in DSGE Framework

We use this index to split countries into two groups: one group with highly developed mortgage markets (HDM) and another with less developed mortgage markets (LDM). 6 Chart 2 shows that the Anglo-Saxon and Nordic countries tend to have a highly developed mortgage market, whereas most countries in continental Europe are in the less developed group. 7 In the baseline analysis we work with the overall index. To assess the robustness of the results, we then look at some of its subcomponents, splitting countries according to the typical loan to value ratio and the possibility of mortgage equity withdrawal. As an alternative to the IMF index, we also split countries using. | Bank of Japan Working Paper Series Financial Markets Monetary Policy and Reference Rates Assessments in DSGE Framework Nao Sudo December 2012 Bank of Japan 2-1-1 Nihonbashi-Hongokucho Chuo-ku Tokyo 103-0021 Japan Financial System and Bank Examination Department Papers in the Bank of Japan Working Paper Series are circulated in order to stimulate discussion and comments. Views expressed are those of authors and do not necessarily reflect those of the Bank. If you have any comment or question on the working paper series please contact each author. When making a copy or reproduction of the content for commercial purposes please contact the Public Relations Department at the Bank in advance to request permission. When making a copy or reproduction the source Bank of Japan Working Paper Series should explicitly be credited. Financial Markets Monetary Policy and Reference Rates Assessments in DSGE Framework Nao Sudo December 28 2012 Abstract In this paper we explore the roles played by reference rates in business cycle fluctuations using a medium-scale full-fledged dynamic stochastic general equilibrium DSGE model. Our model is an extended model of chained-credit-contract model developed by Hirakata Sudo and Ueda 2011b estimated by the Japanese data. In our economy there are interbank as well as lending markets. Credit spreads determined in the markets are affected by the borrowers creditworthiness and degree of informational friction in the credit markets. Focusing on the role of reference rates that affects economic decisions through the delivery of information about the nature of economy we evaluate channels through which the reference rates affects credit spreads and macroeconomic activities. We find that i reference rates may mitigate informational friction in the credit markets leading to a higher investment output and inflation ii reference rates may contribute to economic stabilization by providing accurate .

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