All Outputs (30)

Fiscal and Macroprudential Policies in a Monetary Union (2024)
Journal Article
Rubio, M., Ferri, J., & Bosca, J. E. (in press). Fiscal and Macroprudential Policies in a Monetary Union. Review of Quantitative Finance and Accounting,

In the European Monetary Union (EMU), monetary policy is determined by the European Central Bank (ECB). This arrangement can give rise to certain national economic imbalances that may potentially be addressed through national policies. Traditionally,... Read More about Fiscal and Macroprudential Policies in a Monetary Union.

Shadow banking, macroprudential regulation and redistributional effects (2024)
Journal Article
Rubio, M. (2024). Shadow banking, macroprudential regulation and redistributional effects. European Journal of Finance, https://doi.org/10.1080/1351847X.2024.2401590

This paper studies the implications of increasing the size of the shadow banking sector for economic activity, financial stability, and welfare. I consider a DSGE model in which lending can come from two different sources; a formal bank or private le... Read More about Shadow banking, macroprudential regulation and redistributional effects.

Inspecting Cross-Border Macro-Financial Mechanisms (2024)
Journal Article
Gerba, E., Leiva-Leon, D., & Rubio, M. (2024). Inspecting Cross-Border Macro-Financial Mechanisms. Journal of International Money and Finance, 145, Article 103094. https://doi.org/10.1016/j.jimonfin.2024.103094

We model structural time-varying macro-financial linkages between the U.S. and euro area using a large dataset for each region. We extract both real and financial cycles and identify shocks, using a factor model with drifting parameters. To interpret... Read More about Inspecting Cross-Border Macro-Financial Mechanisms.

Macroprudential policies and Brexit: A welfare analysis (2024)
Journal Article
Rubio, M. (2024). Macroprudential policies and Brexit: A welfare analysis. Economic Inquiry, 62(3), 1246-1267. https://doi.org/10.1111/ecin.13214

Brexit will have implications on financial stability and the implementation of macroprudential policies. The United Kingdom (UK) will no longer be subject to the jurisdiction of the European Systemic Risk Board. This paper studies the welfare implica... Read More about Macroprudential policies and Brexit: A welfare analysis.

The Macroprudential Toolkit: Effectiveness and Interactions (2023)
Journal Article
Millard, S., Rubio, M., & Varadi, A. (2024). The Macroprudential Toolkit: Effectiveness and Interactions. Oxford Bulletin of Economics and Statistics, 86(2), 335-384. https://doi.org/10.1111/obes.12582

We use a DSGE model with financial frictions and with macroprudential limits on both banks and mortgage borrowers, in the form of capital requirements and maximum debt‐service ratios. We then examine: (i) the impact of different combinations of macro... Read More about The Macroprudential Toolkit: Effectiveness and Interactions.

Macroprudential policy implementation in a heterogeneous monetary union (2023)
Journal Article
Rubio, M. (2024). Macroprudential policy implementation in a heterogeneous monetary union. Oxford Economic Papers, 76(2), https://doi.org/10.1093/oep/gpad012

In this article, I develop a two-country new Keynesian general equilibrium model with housing and collateral constraints to explore how macroprudential policies should be conducted in a heterogeneous monetary union. I consider several types of cross-... Read More about Macroprudential policy implementation in a heterogeneous monetary union.

Monetary Policy, Credit Markets, and Banks: A DSGE Perspective (2020)
Journal Article
Rubio, M. (2020). Monetary Policy, Credit Markets, and Banks: A DSGE Perspective. Economics Letters, 195, Article 109481. https://doi.org/10.1016/j.econlet.2020.109481

The monetary policy transmission mechanism changed after the 2008 crisis. Evidence shows that credit markets and the banking system play now a predominant role in the pass-through of monetary policy to the real economy. This paper examines the moneta... Read More about Monetary Policy, Credit Markets, and Banks: A DSGE Perspective.

Bank capital, financial stability and Basel regulation in a low interest-rate environment (2020)
Journal Article
Rubio, M., & Yao, F. (2020). Bank capital, financial stability and Basel regulation in a low interest-rate environment. International Review of Economics and Finance, 67, 378-392. https://doi.org/10.1016/j.iref.2020.02.008

The current low interest-rate environment poses new challenges to international bank regulation policies. This paper analyzes the role of the Basel regulation in this new context. We study this issue by using a DSGE model with housing and collateral... Read More about Bank capital, financial stability and Basel regulation in a low interest-rate environment.

Cross-country spillovers from macroprudential regulation: Reciprocity and leakage (2020)
Journal Article
Rubio, M. (2020). Cross-country spillovers from macroprudential regulation: Reciprocity and leakage. Journal of International Money and Finance, 103, Article 102134. https://doi.org/10.1016/j.jimonfin.2019.102134

In a globally interconnected banking system, there can be spillovers from domestic macroprudential policies to foreign banks and vice versa, for example, through the presence of foreign branches in the domestic economy. The lack of reciprocity of som... Read More about Cross-country spillovers from macroprudential regulation: Reciprocity and leakage.

Macroprudential Policy under Incomplete Information (2019)
Journal Article
Rubio, M., & Unsal, D. F. (2020). Macroprudential Policy under Incomplete Information. European Journal of Finance, 26(7-8), https://doi.org/10.1080/1351847X.2019.1679209

In this paper, we use a DSGE model to study the passive and time-varying implementation of macroprudential policy when policy-makers have noisy and lagged data. The model features an economy with two agents; households and entrepreneurs. Entrepreneur... Read More about Macroprudential Policy under Incomplete Information.

Macroprudential policy under incomplete information (2019)
Journal Article
Rubio, M., & Unsal, D. F. (2019). Macroprudential policy under incomplete information. European Journal of Finance, https://doi.org/10.1080/1351847X.2019.1679209

In this paper, we use a DSGE model to study the passive and time-varying implementation of macroprudential policy when policy-makers have noisy and lagged data. The model features an economy with two agents; households and entrepreneurs. Entrepreneur... Read More about Macroprudential policy under incomplete information.

Macroprudential policies in a low interest-rate environment (2019)
Journal Article
Rubio, M., & Yao, F. (2020). Macroprudential policies in a low interest-rate environment. Journal of Money, Credit and Banking, 52(6), 1565-1591. https://doi.org/10.1111/jmcb.12662

In this paper, we analyze the use of macroprudential policies in a low interest rate environment, where an occasionally binding zero lower bound (ZLB) constraint gives rise to aggregate demand externalities. We study this issue by using a dynamic sto... Read More about Macroprudential policies in a low interest-rate environment.

Does the rental housing market stabilize the economy?: a micro and macro perspective (2019)
Journal Article
Rubio, M., & Rubaszek, M. (2019). Does the rental housing market stabilize the economy?: a micro and macro perspective. Empirical Economics, https://doi.org/10.1007/s00181-019-01638-z

© 2019, The Author(s). The size of the rental housing market in most countries around the globe is small. In this article, we claim that this may be detrimental to macroeconomic stability. We do it in three steps. First, using survey data for Poland,... Read More about Does the rental housing market stabilize the economy?: a micro and macro perspective.

Rented vs. owner-occupied housing and monetary policy (2018)
Journal Article
Rubio, M. (2019). Rented vs. owner-occupied housing and monetary policy. BE Journal of Macroeconomics, 19(1), Article 20160110. https://doi.org/10.1515/bejm-2016-0110

© 2019 Walter de Gruyter GmbH, Berlin/Boston. The aim of this paper is to show how housing tenure (rented vs.cowner-occupied) affects monetary policy. I propose a dynamic stochastic general equilibrium model with housing, both owned and rented. First... Read More about Rented vs. owner-occupied housing and monetary policy.

National macroprudential policies in the Euro Area: flexibility vs. supervision (2018)
Journal Article
Rubio, M. (2018). National macroprudential policies in the Euro Area: flexibility vs. supervision. Economics Letters, 170, https://doi.org/10.1016/j.econlet.2018.05.036

In this paper, I shed some light on a much discussed topic in the policy debate: Should national macroprudential policies be supervised by a supranational entity in a monetary union? To do so, I develop a two-country DSGE monetary union model, which... Read More about National macroprudential policies in the Euro Area: flexibility vs. supervision.

Macroeconomic and financial stability in a monetary union: the case of Lithuania (2017)
Journal Article
Rubio, M., & Comunale, M. (2018). Macroeconomic and financial stability in a monetary union: the case of Lithuania. Economic Systems, 42(1), https://doi.org/10.1016/j.ecosys.2017.04.002

In this paper, we study the implications for macroeconomic and financial stability of macroprudential policies in a monetary union. With this purpose, we develop a two-country monetary union new Keynesian general equilibrium model with housing and co... Read More about Macroeconomic and financial stability in a monetary union: the case of Lithuania.

Monetary policy and the role of inventory investment (2017)
Journal Article
Rubio, M., & Schuh, S. (in press). Monetary policy and the role of inventory investment. Applied Economics Letters, 24(21), https://doi.org/10.1080/13504851.2017.1363855

In this paper, we develop a dynamic stochastic general equilibrium model (DSGE) with sticky prices and inventory investment to explore the relationship between inventories and monetary policy. We use the traditional inventory literature as a basis to... Read More about Monetary policy and the role of inventory investment.

Monetary and macroprudential policies under fixed and variable interest rates (2017)
Journal Article
Rubio, M. (in press). Monetary and macroprudential policies under fixed and variable interest rates. Macroeconomic Dynamics, https://doi.org/10.1017/S136510051700013X

In this paper, I analyze the ability of monetary policy to stabilize both the macroeconomy and financial markets under two different scenarios: fixed and variable-rate mortgages. I develop and solve a New Keynesian dynamic stochastic general equilibr... Read More about Monetary and macroprudential policies under fixed and variable interest rates.

Clustered housing cycles (2017)
Journal Article
Hernandez-Murillo, R., Owyang, M. T., & Rubio, M. (2017). Clustered housing cycles. Regional Science and Urban Economics, 66, https://doi.org/10.1016/j.regsciurbeco.2017.06.003

Using a panel of U.S. city-level building permits data, we estimate a Markov-switching model of housing cycles that allows cities to systematically deviate from the national housing cycle. These deviations occur for clusters of cities that experience... Read More about Clustered housing cycles.

Bank capital requirements and collateralised lending markets (2017)
Journal Article
Rubio, M., & Carrasco-Gallego, J. A. (2017). Bank capital requirements and collateralised lending markets. Manchester School, 85(S1), 79-103. https://doi.org/10.1111/manc.12182

In this paper, we take as a baseline a dynamic stochastic general equilibrium (DSGE) model, which features a housing market, borrowers, savers and banks, in order to evaluate the welfare and macroeconomic effects of the new fixed capital requirements... Read More about Bank capital requirements and collateralised lending markets.