EconPapers    
Economics at your fingertips  
 

Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies

Ragnar Nymoen (), Kari Pedersen () and Jon Ivar Sjåberg ()
Additional contact information
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

Abstract: 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)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.mdpi.com/2227-7072/7/2/23/pdf (application/pdf)
https://www.mdpi.com/2227-7072/7/2/23/ (text/html)

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:gam:jijfss:v:7:y:2019:i:2:p:23-:d:229303

Access Statistics for this article

International Journal of Financial Studies is currently edited by Prof. Dr. Nicholas Apergis

More articles in International Journal of Financial Studies from MDPI, Open Access Journal
Bibliographic data for series maintained by XML Conversion Team ().

 
Page updated 2019-05-25
Handle: RePEc:gam:jijfss:v:7:y:2019:i:2:p:23-:d:229303