Changes in Prudential Policy Instruments ---- A New Cross-Country Database

Eugenio Cerutti, Ricardo Correa, Elisabetta Fiorentino () and Esther Segalla

No 1169, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper documents the features of a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macro-prudential and microprudential objectives. The database coverage is broad, spanning 64 countries, and with quarterly data for the period 2000Q1 through 2014Q4. The five types of prudential instruments in the database are: capital buffers, interbank exposure limits, concentration limits, loan to value (LTV) ratio limits, and reserve requirements. A total of nine prudential tools are constructed since some useful further decompositions are presented, with capital buffers divided into four sub-indices: general capital requirements, real state credit specific capital buffers, consumer credit specific capital buffers, and other specific capital buffers; and with reserve requirements divided into two sub-indices: domestic currency capital requirements and foreign currency capital requirements. While general capital requirements have the most changes from the cross-country perspective, LTV ratio limits and reserve requirements have the largest number of tightening and loosening episodes. We also analyze the instruments? usage in relation to the evolution of key variables such as credit, policy rates, and house prices, finding substantial differences in the patterns of loosening or tightening of instruments in relation to business and financial cycles.

Keywords: Macroprudential policies; Microprudential policies; Financial cycles (search for similar items in EconPapers)
JEL-codes: E43 E58 G18 G28 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-06
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (95)

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http://www.federalreserve.gov/econresdata/ifdp/2016/files/ifdp1169.pdf (application/pdf)

Related works:
Journal Article: Changes in Prudential Policy Instruments - A New Cross-Country Database (2017)
Working Paper: Changes in Prudential Policy Instruments — A New Cross-Country Database (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgif:1169

DOI: 10.17016/IFDP.2016.1169

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