We use a dynamic general equilibrium model featuring a banking sector to assess the interaction between a countercyclical macroprudential policy and monetary policy. We find that in “normal” times (when the economic cycle is mainly driven by supply shocks) macroprudential policy generates only modest benefits relative to a “monetary policy-only” world. In fact, without strong coordination with monetary policy, situations of conflict between the two policies can arise, in which macroprudential policy becomes pro-cyclical and monetary policy strongly countercyclical. The benefits of introducing a macroprudential policy become sizeable when the economy is hit by financial or housing market shocks, that severely affect the supply of loans. In these cases, a cooperative central bank “lends a hand” to the macroprudential authority, taking care of broader objectives than price stability in order to improve the overall stability of the economy.