The Transmission of Macroprudential Policy in the Tails: Evidence from a Narrative Approach

Álvaro Fernández-Gallardo, Simon Lloyd and Ed Manuel
Additional contact information
Álvaro Fernández-Gallardo: BANCO DE ESPAÑA
Simon Lloyd: BANCO DE ESPAÑA
Ed Manuel: BANCO DE ESPAÑA

No 2519, Working Papers from Banco de España

Abstract: We estimate the causal effects of macroprudential policies on the entire distribution of GDP growth for advanced European economies using a narrative-identification strategy in a quantile-regression framework. While macroprudential policy has near-zero effects on the centre of the GDP-growth distribution, tighter policy brings benefits by reducing the variance of future growth, significantly boosting the left tail while simultaneously reducing the right. Assessing a range of channels through which these effects materialise, we find that macroprudential policy particularly operates through ‘credit-at-risk’: it reduces the right tail of future credit growth, dampening booms, in turn reducing the likelihood of extreme GDP-growth outturns.

Keywords: growth-at-risk; macroprudential policy; narrative identification; quantile local projections. (search for similar items in EconPapers)
JEL-codes: E32 E58 G28 (search for similar items in EconPapers)
Pages: 60 pages
Date: 2025-04
New Economics Papers: this item is included in nep-eec and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bde.es/f/webbe/SES/Secciones/Publicaci ... 25/Files/dt2519e.pdf First version, April 2025 (application/pdf)

Related works:
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:bde:wpaper:2519

DOI: 10.53479/39444

Access Statistics for this paper

More papers in Working Papers from Banco de España Contact information at EDIRC.
Bibliographic data for series maintained by Ángel Rodríguez. Electronic Dissemination of Information Unit. Research Department. Banco de España ().