Front Matter Page
Research Department
Contents
1. Introduction
2. Empirical Evidence
2.1. The Relationship between Credit and the Current Account
2.2. The Relationship between the Fiscal Balance and the Current Account
3. Model
3.1. Production
3.2. Households
3.3. Fiscal Policy
3.4. Decision Rules
4. Estimation
4.1. Data
4.2. GMM Estimation and Parameter Estimates
4.3. Model Implications: Impulse-Responses and Model Fit
4.3.1. Model Fit
4.3.2. Impulse Responses
4.4. Role of α in Estimated Model
5. Credit Shocks, Fiscal Policy, and the Current Account
5.1. The Role of U.S. Credit and Fiscal Shocks
5.2. Macroprudential Policies
5.3. Fiscal Policy
6. Conclusion
References
Tables
1. Correlation between the Credit Gap at t+k and the Current Account at t
2. Correlation between the Fiscal Balance at t+k and the Current Account at t
3. Calibrated Parameters
4. Estimated Parameters
5. Model Fit
6. Model Fit Correlations
7. Variance Decomposition
8. Moments Across α
Figures
1. Correlation between the Credit Gap and the Current Account
2. Correlation between the Fiscal Balance and the Current Account
3. Impulse Responses to a U.S. Credit Shock
4. Impulse Responses to a U.S. Fiscal Shock
5. Impulse Responses to a U.S. Productivity Shock
6. U.S. Current Account to GDP, Counterfactuals
7. Macroprudential Rule Responding to Household Credit Shocks
8. Macroprudential Rule Responding to Household Price Fluctuations
9. Fiscal Rule Responding to Lagged Output Growth
10. Fiscal Balance Under Rule Responding to Lagged Output Growth
Appendix
A. Additional Tables
B. Equilibrium of the Model
B.1. Solution for Consumption
C. Additional Results on Macroprudential Rules
C.1. Welfare Function
C.2. Welfare-Based Coefficients
C.3. Macropru Rule Targeting House Prices at Optimal Coefficients
Appendix Tables
A.1. Correlation Between 1Y ∆ in Credit-to-GDP at t+k and the Current Account at t
A.2. Correlation Between 2Y ∆ in Credit-to-GDP at t+k and the Current Account at t
A.3. Correlation Between 3Y ∆ in Credit-to-GDP at t+k and the Current Account at t
Appendix Figures
C.l. Optimal Macroprudential Rule Coefficients
C.2. Optimal Fiscal Rule Coefficients
C.3. Macroprudential Rule Responding to House Price Fluctuations