Macroprudential regulation and banks’ supply of liquidity services

Description

Matlab files create data and figures contained in the article. Bank of Canada working paper version: https://www.bankofcanada.ca/2021/05/staff-working-paper-2021-21/

Steps to reproduce

Run CEmain.m and SBmax.m to build the data files for the competitive equilibrium and second-best allocations, respectively. Run simulate.m to create the figures and bank balance sheet data in variables BBSCE and BBSSB. This is the main part of the paper. See README.pdf in zip file for more details and the full list of figures and tables, providing instructions for how to generate each. Robustness and policy implementation: Subfolder robustness contains the four robustness exercises, follow the same steps as for main part. Subfolder capbuffer and SLR contain policy exercises, and SLR contains a subfolder to compare policies. You will have to manually transfer the mat files generated in capbuffer and SLR into this latter subfolder. Use simulateCEcomp.m to generate the figures and variable containing bank balance sheet data. Run welfcomp.m to generate the figure with welfare comparisons. Note that subfolder detstatic contains the deterministic case mentioned in the paper. No numerical results are reported in the paper but you can obtain them by running CEmain.m if you are interested. Monetary policy extension: Run CEmain and SBmax in subfolder MPPMP, and use simulate.m for figures.

Institutions

• Bank of Canada

  Ontario, Ottawa

Categories

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