Macroprudential Policies and Credit Volatility

Lorenzo Carbonari, Alessio Farcomeni, Cosimo Petracchi and Giovanni Trovato
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Alessio Farcomeni: Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy
Cosimo Petracchi: Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy
Giovanni Trovato: Dipartimento di Economia e Finanza, Università degli Studi di Roma “Tor Vergata”, Italy; CEIS

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We present a model for data reduction and provide time-fixed indicators for macroprudential policies. Using a panel of 119 countries from 2000 to 2015, we empirically assess the effectiveness of macroprudential policies in reducing volatility in private credit. Unobserved heterogeneity among countries is an important factor. We employ an econometric model that accounts for this heterogeneity and document that the impact of macroprudential policies on financial stability varies, leading to either deterioration or improvement, depending on the macroeconomic conditions of the country in which they are implemented.

Keywords: Macroprudential policies; Financial cycles; unobserved heterogeneity; Generalized additive models for location; scale and shape (search for similar items in EconPapers)
JEL-codes: E43 E58 G18 G28 (search for similar items in EconPapers)
Date: 2024-10
New Economics Papers: this item is included in nep-ban, nep-cba and nep-fdg
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:24-16

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