Carlos Cortez, PUC Chile

Paper: Macroprudential Policy in the Age of Cryptocurrencies

Abstract: This paper studies how cryptoasset adoption weakens the stabilizing role of bank-based loan-to-value (LTV) regulation by introducing an endogenous regulatory-arbitrage channel between regulated credit and DeFi collateralized borrowing. We develop and calibrate a DSGE model with heterogeneous households, dual collateral, and occasionally binding constraints for Japan as a conservative critical case. A preference shock delivers an LTV effectiveness loss of L = 450.4% and regulatory arbitrage of A = 4.7%, with endogenous horizon T∗ = 80. Welfare declines in aggregate, with losses concentrated among borrowers (λb = −0.452%). The contribution is a tractable structural framework linking macroprudential leakage, endogenous crypto-collateral risk, and distributional welfare. Policy design should therefore move from rule harmonization toward functional supervision.