最优信贷市场政策

Optimal Credit Market Policy∗Matteo Iacoviello†Ricardo Nunes‡Andrea PrestipinoMarch 28, 2025AbstractWe study optimal credit market policy in a stochastic, quantitative, general equilibrium,infinite-horizon economy with collateral constraints tied to housing prices. Collateral constraintsyield a competitive equilibrium that is Pareto inefficient.Taxing housing in good states andsubsidizing it in recessions leads to a Pareto-improving allocation for borrowers and savers.Quantitatively, the welfare gains afforded by the optimal tax are significant. The optimal taxreduces the covariance of collateral prices with consumption, and, by doing so, it increases assetprices on average, thus providing welfare gains both in steady state and around it.We alsoshow that the welfare gains stem from mopping up after the crash rather than a pure ex-antemacroprudential aspect, aligning with prior research that emphasizes the importance of ex-postmeasures compared to preventive policies alone.JEL Classification:E32, E44, G18, H23, R21.Keywords:Credit Market, Housing, Collateral Constraints, Macroprudential Policy, FiscalPolicy, Financial Crises.We thank seminar participants at the Federal Reserve Board, the European Central Bank, and the Bank ofMexico for their valuable suggestions on earlier drafts of this work. We are also grateful for their comments to theparticipants of the Banque de France conference “Celebrating Michel Juillard’s Career and 30 Years of Dynare.” Thispaper serves as our personal homage to Michel Juillard for his outstanding career and pathbreaking contributions tomacroeconomics. Ours is one of countless papers that could not have been written without Dynare, a testament tohis everlasting legacy on the field.The views expressed in this paper are solely the responsibility of the authors and should not be interpreted asreflecting the views of the Board of Governors of the Federal Reserve System or of anyone else associated with theFederal Reserve Board of Governors and CEPR. Email: matteo.iacoviello@frb.govUniversity of Surrey, CIMS, Centre for Macro (LSE). Email: ricardo.nunes@surrey.ac.ukFederal Reserve Board of Governors. Email: andrea.prestipino@frb.gov §Federal Reserve System. 1IntroductionIn the aftermath of the global financial crisis, policymakers and researchers have studied toolsto address financial instability through two distinct approaches:macroprudential policies thatpreemptively restrict lending, and ex-post interventions that mitigate crisis effects once they occur.While both approaches have received significant attention separately, their relative effectivenessand quantitative merits remain open questions. In this paper we develop a quantitative dynamicstochastic general equilibrium (DSGE) model with housing and occasional financial crises and studyoptimal credit market intervention.We focus on simple tax rules on housing and debt, allowingtaxes to respond to the level of productivity, in order to capture the cyclical nature of policyinterventions. Our key finding is that a procyclical tax can achieve significant welfare gains. Theoptimal tax is positive in expansions and becomes a subsidy in recessions, thus capturing both themacroprudential and the ex-post intervention components of policy intervention.Quantitatively,we find that the welfare gains from the implementation of the tax come entirely from the subsidypart, thus pointing to an important role for ex-post intervention in our model economy.The model features two types of agents, borrowers and savers.Borrowers are impatient andrely on housing as collateral for borrowing, while savers are patient, accumulate capital, and lendto borrowers. The framework is a closed economy setting with an endogenous interest rate. Theeconomy features financial frictions, where borrowing is constrained by a collateral requirementlinking debt capacity to the value of a borrower’s housing. Financial crises in the model happenwhen negative productivity shocks cause a decline in house prices and lead borrowing constraintsto become binding. With limited borrowing capacity, the decline in borrower’s consumption andhousing investment is amplified through a financial accelerator channel.We use the model to investigate whether taxes on borrower’s housing investment or debt holdingscan improve welfare. With collateral constraints that depend on the value of housing, the marketequilibrium is inefficient because of the presence of pecuniary externalities. Specifically, atomisticagents fail to internalize how their allocation choices affect the price of housing and hence thetightness of the borrowing constraint.2pecuniary externality and deliver Pareto improvements relative to the decentralized equilibriumallocation.We choose this approach—relative to setting up the constrained planner problem—1See Bianchi (2011), Bianchi and Mendoza (2018), Davila and Korinek (2017), Gertler, Kiyotaki, and Prestipino(2020), Jeanne and Korinek (2020), and Benigno, Chen, Otrok, Rebuc