Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database

Alam, Zohair; Alter, Adrian; Elseman, Jesse; Gelos, Gastón; Kang, Heedon; Narita, Machiko; Nier, Erlend; Wang, Naixi

doi:10.2139/ssrn.3370962

Cited by 51 publications

(48 citation statements)

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“…For the empirical investigation, we employ the General Method of Moments Difference (GMM-Diff) method for the dynamic panel data across 38 countries for ten years of observation, from 2007 to 2016. The policy measure involves credit-related instruments and capital-related instruments sourced from Integrated Macroprudential Policy (iMaPP) (Alam et al, 2019). The Credit-related mechanisms involve Loan-tovalue (LTV) limit, Debt-service-to-income (DSTI) limit, Loan loss provisions (LLP), and Loan Restrictions (LoanR).…”

Section: Methodsmentioning

confidence: 99%

Diverse Outreach of Macroprudential Policy Effect on Household and Non-Financial Corporate Loan: An Indication of Macroprudential Policy Leak?

Sukma

Kurnia

2022

Etikonomi

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Despite increasing awareness of the importance of countercyclical policies to overcome financial system instability, the potential leak of such policies comes to attention due to economic agents' risk-taking behavior. This paper aims to investigate the potential leaks of the policy. Using the Estimator General Method of Moments-difference (GMM-diff), we found evidence that macroprudential policies are less functional in controlling non-financial firms' credit growth than household credit growth. The result amplifies hesitation about the effectiveness of macroprudential policy caused by potential leaks coming from non-financial firms' risk-taking behavior. We also found that macroprudential policy in developing countries is less effective than in developed countries. Hence, the financial stability goal cannot rely solely on macroprudential policy. Instead, it needs support from other mutual policies, such as the capital control policy and transparent regulatory boundaries, to prevent partial risk shift from regulated financial institutions to unregulated, prevalent in the less developed financial system.JEL Classification: E42, E44, E52, E58

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Section: Methodsmentioning

confidence: 99%

Diverse Outreach of Macroprudential Policy Effect on Household and Non-Financial Corporate Loan: An Indication of Macroprudential Policy Leak?

Sukma

Kurnia

2022

Etikonomi

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“…Likewise, we generated -MP -a second dummy variable that indicates whether countries adopt a macroprudential policy or not. The data for MP are obtained from the study of Alam et al (2019). Again, we set MP = 1 to indicate countries that adopt a macroprudential policy, and MP = 0, otherwise.…”

Section: Capital Controls and Macroprudential Policy Coordinationmentioning

confidence: 99%

“…The integrated Macroprudential Policy Database (iMaPP) database of Alam et al (2019) provides: (1) dummy-type indices of tightening and loosening actions for 17 macroprudential policy instruments and their subcategories, (2) detailed description of each policy action, and (3) country-level averages of the regulatory limits on loan-to-value (LTV) ratios at a monthly frequency.…”

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confidence: 99%

Foreign Assets Management and Capital Expenditure: Firm-Level Evidence from 45 Emerging Market Economies

Zehri

2022

MJES

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This paper investigates the effects of foreign assets management (FAM), led by policymakers in emerging market economies, on companies’ capital expenditure with international financial shocks (IFS). Using company-level data from 45 emerging market economies from 2005 to 2020, we employed a multiplicative regression setup for Tobin’s Q ratio capital expenditure framework. First, our findings show that FAM positively affects capital expenditure; this impact is reinforced with stronger detrimental IFS. Second, the capacity to access foreign funding supports FAM policy, and more financially constrained companies are less responsive to FAM. Third, capital controls and macroprudential policies support FAM – they create a protective policy mix in the IFS context. The statistical significance of FAM’s impact on companies’ capital expenditure has an economic implication and is pertinent to the global economy. This study recommends coordinating macro-management policies to isolate companies’ capital expenditure from IFS effectively.

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“…By cumulatively summing them up over time, an index of macroprudential tightness can be compiled (e.g. Shim et al, 2013;Ahnert et al, 2018;Alam et al, 2019). The simplicity of these indices comes, however, with the drawback of neglecting variations in the intensity (i.e.…”

Section: An Intensity-adjusted Index For Macroprudential Policiesmentioning

confidence: 99%

“…Dumičić (2018) studied the effectiveness of MPPs in mitigating excessive credit growth and accounted for different intensities of MPPs, using step functions that yield different values when the change of a particular instrument exceeds a certain threshold. Richter et al (2018) and Alam et al (2019) both focus on the effect of loan-to-value (LTV) limits on the broader macroeconomic environment and provide more detailed information regarding the intensity of the use of this instrument.…”

Section: An Intensity-adjusted Index For Macroprudential Policiesmentioning

confidence: 99%

Capital Flows and the Stabilizing Role of Macroprudential Policies in CESEE

Eller,

Hauzenberger,

Huber

et al. 2020

Preprint

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In line with the recent policy discussion on the use of macroprudential measures to respond to crossborder risks arising from capital flows, this paper tries to quantify to what extent macroprudential policies (MPPs) have been able to stabilize capital flows in Central, Eastern and Southeastern Europe (CESEE) -a region that experienced a substantial boom-bust cycle in capital flows amid the global financial crisis and where policymakers had been quite active in adopting MPPs already before that crisis. To study the dynamic responses of capital flows to MPP shocks, we propose a novel regimeswitching factor-augmented vector autoregressive (FAVAR) model. It allows to capture potential structural breaks in the policy regime and to control -besides domestic macroeconomic quantities -for the impact of global factors such as the global financial cycle. Feeding into this model a novel intensity-adjusted macroprudential policy index, we find that tighter MPPs may be effective in containing domestic private sector credit growth and the volumes of gross capital inflows in a majority of the countries analyzed. However, they do not seem to generally shield CESEE countries from capital flow volatility.

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Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database

Cited by 51 publications

References 0 publications

Diverse Outreach of Macroprudential Policy Effect on Household and Non-Financial Corporate Loan: An Indication of Macroprudential Policy Leak?

Diverse Outreach of Macroprudential Policy Effect on Household and Non-Financial Corporate Loan: An Indication of Macroprudential Policy Leak?

Foreign Assets Management and Capital Expenditure: Firm-Level Evidence from 45 Emerging Market Economies

Capital Flows and the Stabilizing Role of Macroprudential Policies in CESEE

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