Margarita Rubio

University of Nottingham | Notts · Centre for Finance, Credit and Macroeconomics (CFCM)

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-country heterogeneity: asymmetric shocks, different leveraged countries, and mortgage contract heter...

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 monetary transmission mechanism in a Dynamic Stochastic General Equilibrium (DSGE) model that; on the one...

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, a country with a high homeownership ratio, we discuss microeconomic housing tenure choice determinants. Second, with a pan...

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 some macroprudential instruments may result in an increase in bank flows to those banks with lower regu...

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 constraints, both on borrowers and banks. Results show that, on the one hand, low interest rates lea...

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. Entrepreneurs are the borrowers in this economy and need capital as collateral to obtain loans. The macroprudent...

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 stochastic general equilibrium (DSGE) model with financial frictions and a monetary policy rule that is...

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, I analyze how, in the model, preference parameters, fiscal incentives, and institutional factors determine the rental market share and the resid...

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 I calibrate to the core and periphery regions of the euro area. Monetary policy is set by the ECB, w...

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 collateral constraints, to be calibrated for Lithuania and the rest of the euro area. We consider two...

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 motivate this extension of the benchmark model and propose inventories as a factor of production. W...

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 simultaneous housing contractions. We find that cities do not form housing regions in the tradition...

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 equilibrium model (DSGE) that features a housing market and a group of constrained individuals who need hous...

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 in the Basel accords. Our results show that the higher capital requirements imposed by Basel I, II...

In this paper, we develop a two-country monetary union new Keynesian general equilibrium model with housing and collateral constraints, to be calibrated for Lithuania and the rest of the euro area. Within this setting, and following the recent entrance of Lithuania in the EMU, the aim of this paper is twofold. First, we study how shocks are transmi...

In this paper, I analyze the ability of monetary and macroprudential policies to stabilize both the macroeconomy and financial markets under two different scenarios: short and long-term rates. I develop and solve a New Keynesian dynamic stochastic general equilibrium model that features a housing market, borrowers and savers. Borrowers can access c...

This paper studies the interaction between macroprudential and monetary policies, using a DSGE model with a housing market and collateral constraints. Monetary policy follows a standard Taylor rule for the interest rate. The macroprudential authority implements a Taylor-type rule for the loan-to-value, ratio reacting to output and house prices. Res...

In this paper, we propose a two-country, two sector monetary union DSGE model with housing. One of the countries is calibrated to represent the Spanish economy while the other one is the rest of the European monetary union. First, we illustrate how looser credit conditions coming from the Euro area, together with increases in housing demand, lead t...

Purpose This study aims to build a two-country monetary union dynamic stochastic general equilibrium (DSGE) model with housing to assess how different shocks contributed to the increase in housing prices and credit in the European Economic and Monetary Union. One of the countries is calibrated to represent the core group in the euro area, while the...

After a long academic debate, Spain finally repealed in 2012 the deduction for home purchase. The abrogation took effect in 2013. In parallel, the VAT for the purchase of new housing was increased after a short period in which it had a reduced rate. The aim of this paper is to assess the macroeconomic effects of these two relevant housing market re...

This paper studies the implications of cross-country housing-market heterogeneity in a monetary union for both shock transmission and welfare. I develop a two-country new Keynesian general equilibrium model with housing and collateral constraints to explore this issue. The conventional wisdom is that welfare would be higher in a monetary union if m...

Past studies have argued that housing is an important driver of business cycles. Housing markets, however, are highly localized, while business cycles are often measured at the national level. We model a national housing cycle using a panel of cities while also allowing for idiosyncratic departures from the national cycle. These departures occur fo...

One of the most salient feature of the Spanish housing market, compared to other European economies, is its relatively low rental share. This may be partly attributed to the existence of fiscal distortions in Spain favoring ownership. In this paper, we simulate the potential efects of different policy measures aimed at homogenizing the fiscal treat...

One of the most salient features of the Spanish housing market, compared to other European economies, is its relatively low rental share. This may be partly attributed to the existence of …scal distortions in Spain favoring ownership. In this paper, we simulate the potential e¤ects of two measures aimed at homogenizing the …scal treatment of owners...

This paper studies the implications of cross-country housing market heterogeneity for a monetary union, also comparing the results with a flexible exchange rate and independent monetary policy setting. I develop a two-country new Keynesian general equilibrium model with housing and collateral constraints to explore this issue. Results show that in...

The aim of this paper is twofold. First, I study how the proportion of fixed and variable-rate mortgages in an economy can affect the way shocks are propagated. Second, I analyze optimal implementable simple monetary policy rules and the welfare implications of this proportion. I develop and solve a New Keynesian dynamic stochastic general equilibr...

La estructura del mercado de la vivienda presenta notables diferencias en-tre países, especialmente en términos del peso relativo y e…ciencia del sector del alquiler. Esta heterogeneidad responde a múltiples factores, entre los que se en-cuentran los culturales o de preferencias, la …scalidad y la e…ciencia de las institu-ciones. En este trabajo se...