Macroprudential Policies in Southeastern Europe

Dimova, Dilyana; Kongsamut, Piyabha; Vandenbussche, Jérôme

doi:10.5089/9781498342872.001

Cited by 19 publications

(14 citation statements)

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“…Other countries in the region adopted similarly proactive macroprudential policymaking during this period, see, e.g.,Dimova et al (2016) andVandenbussche (2012).17 Prior to 2004 there were two changes in reserve requirement ratios, namely a reduction in reserve requirements in domestic currency in 2002Q4 and an increase in reserve requirements in foreign currency in 2002Q4. There were no macroprudential measures in 2003.…”

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confidence: 99%

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

et al. 2017

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We analyze the effects of macroprudential policies on local bank credit cycles and their interactions with international financial conditions. To this end, we exploit the comprehensive credit register containing all bank loans to individuals in Romania, a small open economy subject to external shocks.Our sample period from 2004 until 2012 covers a full boom-bust credit cycle during which a wide range of macroprudential measures were deployed. Our results show that tighter macroprudential conditions are associated with a significant decline in household credit, with substantially stronger effects for FX loans than for local currency loans. The effects on FX loans are higher for: (i) ex-ante riskier borrowers proxied by higher debt-service-to-income ratios and (ii) banks with greater reliance on foreign funding. Furthermore, tighter macroprudential policy has stronger dampening effects on FX lending when global risk appetite is high and foreign monetary policy is expansionary. Quantitative effects are in general larger for borrower rather than lender macroprudential policies. Overall, the results suggest that macroprudential policies are effective in mitigating bank risk-taking in household lending over the local bank credit and global financial cycles and have important implications for theory and policy. . We are grateful for useful comments and suggestions from

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confidence: 99%

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

et al. 2017

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“…Microprudential regulation has also proved insufficient to prevent the buildup of systemic risks leading up to the GFC. Budnik and Kleibl (2018); Vandenbussche Vogel, and Detragiache (2012); and Dimova, Kongsamut, and Vandenbussche (2016) provide detailed databases of major prudential measures adopted since the 1990s in the EU 1 and Central, Eastern, and Southeastern European (CESEE) countries. 2 They show that an increased number of European countries developed or strengthened their macroprudential toolkits since the GFC.…”

Section: Glossarymentioning

confidence: 99%

Macroprudential Policies and House Prices in Europe

Arena¹,

Chen²,

Choi³

et al. 2020

Departmental Papers / Policy Papers

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“…We now turn to the assessment of the measures' effectiveness by analyzing the evolution of two of the specific target variables these measures were meant to affect, namely credit growth and household credit growth. As mentioned in the introduction, an assessment of effectiveness with respect to two other target variables (foreign currency lending, and banks' foreign borrowing) can be found in Dimova, Kongsamut, and Vandenbussche (2016). As noted above, all four countries had concerns about excessive domestic credit growth, and the full range of instruments was deployed.…”

Section: Were Credit Growth Measures Effective?mentioning

confidence: 99%

“…A companion working paper Dimova, Kongsamut, and Vandenbussche (2016) provides a more extensive discussion of the macroeconomic background of the four countries and assesses the effectiveness of macroprudential measures across two additional objectives (managing the share of foreign currency lending and managing banks' foreign borrowing) as well.…”

Section: Introductionmentioning

confidence: 99%

Macroprudential Policy Effectiveness: Lessons from Southeastern Europe

Vandenbussche

Kongsamut

Dimova

2018

JBFE

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This paper presents a detailed account of the rich set of macroprudential measures (MPPs) implemented in Bulgaria, Croatia, Romania, and Serbia during their synchronized boom and bust cycles in 2002-12, and assesses their effectiveness in managing credit growth. Only strong MPPs helped contain domestic credit growth during the boom years, but circumvention via direct external borrowing offset their effectiveness to a large extent. MPPs taken during the bust had no discernible impact. The paper concludes that (i) proper calibration of MPPs is of the essence; (ii) only strong, broad-based MPPs can contain credit booms; (iii) econometric studies of macroprudential policy effectiveness should focus on concrete policy measures rather than on instruments use; and (iv) in so doing should allow for possible non-linear and state-contingent effects.

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Macroprudential Policies in Southeastern Europe

Cited by 19 publications

References 5 publications

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

Macroprudential Policies and House Prices in Europe

Macroprudential Policy Effectiveness: Lessons from Southeastern Europe

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