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Macroprudential policy and its impact on the Credit Cycle

Selien De Schryder and Frederic Opitz

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: We identify a novel set of macroprudential policy shocks and estimate their effects on credit cycle variables in a panel of 13 EU countries during 1999-2018. We find that a typical macroprudential policy tightening shock reduces bank credit-to-GDP by 1.8% points and household credit-to-GDP by 1.6% points over a period of four years. The non-financial corporations and total credit-to-GDP ratios, however, do not react significantly. Using state-dependent local projections, we further find that the effects on the credit-to-GDP ratios are stronger in credit cycle upturns than in downturns. We also detect a sizable leakage of firm credit from the banking to the non-banking sector next to a shift from firm to household credit.

Keywords: Macroprudential policy; Effectiveness; State dependency (search for similar items in EconPapers)
JEL-codes: C23 E58 G18 G28 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2019-12
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Macroprudential policy and its impact on the credit cycle (2021) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:19/990

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