On the effects of macroprudential policies on Growth-at-Risk
Michal Franta and
Leonardo Gambacorta ()
Economics Letters, 2020, vol. 196, issue C
The Growth-at-Risk (GaR) measure for financial stability indicates how severe a recession could become in an extreme situation where future output growth falls into the 5th percentile of the distribution. In this letter, we estimate the effects of macroprudential policies on GaR by combining quantile regressions with local projections in a panel data setting. Our results indicate that the effect of macroprudential measures on GaR could be significant in the medium term. Tightening the loan-to-value limit narrows the whole GDP distribution, while doing the same to loan-loss provisions just moves the left tail of the distribution upward, reducing only the intensity of a potential crisis.
Keywords: Macroprudential policy; Financial stability; Growth-at-Risk; Local projections (search for similar items in EconPapers)
JEL-codes: E58 G28 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303074
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().