Long-Run Transition vs. Short- Run Adjustment: Modeling Slovakia’s Macroprudential Policy Path

Patrik Kupkovic

No WP 6/2026, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: The global financial and sovereign debt crises prompted policymakers to prioritise systemic risk and financial stability. Since then, the use of borrower-based measures in macroprudential policy has become central to managing credit booms and housing market imbalances. However, evidence on the formal and rule-based implementation of this policy remains limited, particularly in small open economies that are prone to financial imbalances. Using a vector error correction model (VECM), this paper estimates Slovakia’s long-run macroprudential rule and its short-run asymmetric adjustment. The results indicate a transition from a passive, procyclical stance to an active, countercyclical framework between 2009 and 2014. In the short run, most of the tightening occurs when conditions are excessively loose, consistent with a strong initial move towards a tighter borrower-based framework. These findings contribute to the empirical evidence on both the long-run macroprudential rule and the asymmetric short-run responses that influence policy transmission.

JEL-codes: C32 C51 E61 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2026-03
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1140

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