Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies
Ragnar Nymoen (),
Kari Pedersen () and
Jon Ivar Sjåberg ()
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Ragnar Nymoen: Department of Economics, University of Oslo, 0315 Oslo, Norway
Kari Pedersen: The Financial Supervisory Authority of Norway, 0107 Oslo, Norway
Jon Ivar Sjåberg: The Financial Supervisory Authority of Norway, 0107 Oslo, Norway
International Journal of Financial Studies, 2019, vol. 7, issue 2, 1-20
We used a time-series cross-section dataset to test several hypotheses pertaining to the role of macroprudential policy instruments in the management of the financial cycle in advanced open economies. The short-run effects are most significant for caps on loan to value and income (LTV and LTI) and risk weights (RW). The long-run coefficients of credit growth with respect to the indicators of amortisation requirements (Amort) and RW are also significant. The estimation results when house price growth is the dependent variable are consistent with these results. Our findings do not support that Basel III type countercyclical buffer (CCyB) has affected credit growth, and we suggest that the variable is mainly a control in our dataset. In that interpretation, it is interesting that the estimated coefficients of the other instruments are robust with respect to exclusion of CCyB from the empirical models. The main results are also robust to controls in the form of impulse indicator saturation (IIS), which we employed as a novel estimation method for macro panels.
Keywords: macroprudential policy measures; house prices; credit growth; open economies; cross-section time-series; macro panel; impulse indicator saturation; robust estimation (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 F2 F3 F41 F42 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jijfss:v:7:y:2019:i:2:p:23-:d:229303
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