THE EFFECTIVENESS OF MACROPRUDENTIAL POLICY: AN EXERCISE BASED ON THE COUNTERCYCLICAL BUFFER

Abstract

The international financial crisis of 2008 has made clear that the academic
debate should incorporate financial frictions to investigate business cycle fluctuations
and allocative efficiency. At the financial regulation side, macroprudential measures
have gained a growing importance as an instrument in the search for financial stability.
The main objective of this thesis consists in the evaluation of the role of specific macroprudential policies within a new keynesian model incorporating a financial system with
frictions and adjustment costs estimated with Brazilian data. Parameters are estimated based on bayesian methods and time series from the Brazilian economy. As a relatively
new literature, the debate is more populated by questions and challenges than by conclusive answers. In this broad debate, this work aims to contribute for the understanding of the effects of some macroprudential policy instruments over relevant macroeconomic and financial variables. In what concerns specifically the countercyclical capital
buffer, the analysis is extended to evaluate its contributions to the objectives pursued
by the prudenctial authority and, also, its coordination with monetary authority ones.