Global financial cycle, household credit, and macroprudential policies

Mircea Epure, Irina Mihai, Camelia Minoiu and Jose-Luis Peydro

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We show that macroprudential policies dampen the impact of global financial conditions on local bank credit cycles. For identification, we exploit variation in the U.S. VIX and household and business credit registers in an emerging market economy where banks depend on foreign funding and macroprudential measures vary over the full cycle. Our results suggest that when the VIX is low, tighter macroprudential policies reduce household lending, notably for riskier (FX and high DSTI) loans and by banks dependent on foreign funding. Moreover, they increase (less regulated) local currency lending to real estate firms, while leaving business lending to other firms unchanged. Such periods are associated with less subsequent total lending to households and firms and with a lower share of FX loans at the local level. Consistently, when the VIX is low, tighter macroprudential policies dampen house prices and economic activity.

Keywords: macroprudential policies; global financial cycle; cross-border spillovers; household credit; bank loans (search for similar items in EconPapers)
JEL-codes: D14 E58 F0 F40 G21 G28 (search for similar items in EconPapers)
Date: 2017-11, Revised 2023-03
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econ-papers.upf.edu/papers/1590.pdf Whole Paper (application/pdf)

Related works:
Journal Article: Global Financial Cycle, Household Credit, and Macroprudential Policies (2024)
Working Paper: Global Financial Cycle, Household Credit, and Macroprudential Policies (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:1590

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).