Abstract

Macroeconomic policy models should track the different channels of monetary transmission, providing a framework for Monetary Policy Committees. They should also be useful for assessing risks to financial stability, including for designing macroprudential stress tests and instrument settings in the new macroprudential toolkits. Current policy models, including the ‘semi-structural’ non-DSGE econometric models such as FRB-US, are seriously deficient in these respects, failing to capture the credit channel and the role of real estate in the financial accelerator that operated in the global financial crisis, and in key transmission channels in the recovery. Furthermore, developments in economic theory, greatly encouraged by new evidence, have rendered redundant the previously accepted micro-foundations for household behaviour in these policy models.A multi-purpose policy model needs to include a household-housing sub-system. This should contain a consumption function broadly consistent with the micro-evidence with equations for permanent income, for the balance sheet drivers, and for residential investment. To capture the credit channel, this block of the model needs to embed common credit conditions in the equations. Sub-system estimation is required to impose the cross-equation restrictions implied by these common factors.

中文翻译：

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家庭层面证据对政策模型的影响：宏观金融联系的案例

摘要

宏观经济政策模型应跟踪货币传导的不同渠道，为货币政策委员会提供框架。它们还应有助于评估财务稳定性风险，包括设计新的宏观审慎工具包中的宏观审慎压力测试和工具设置。当前的政策模型，包括FRB-US等“半结构性”非DSGE计量经济模型，在这些方面都严重不足，未能抓住信贷渠道和房地产在全球运营的金融加速器中的作用金融危机后，并在关键的传播渠道中复苏。此外，在新证据的大力推动下，经济理论的发展使这些政策模型中以前被接受的家庭行为微观基础变得多余。多功能政策模型需要包括家庭住房子系统。它应包含一个与微观证据大致相符的消费函数，其中包括永久收入，资产负债表驱动力和住宅投资等式。为了捕获信用渠道，该模型的模块需要在公式中嵌入通用信用条件。需要子系统估计以施加这些公共因素所暗含的交叉方程式限制。