Changes in Prudential Policy Instruments - A New Cross-Country Database

Eugenio Cerutti, Ricardo Correa, Elisabetta Fiorentino and Esther Segalla
Additional contact information
Elisabetta Fiorentino: Deutsche Bundesbank

International Journal of Central Banking, 2017, vol. 13, issue 2, 477-503

Abstract: This paper documents a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macroprudential and microprudential objectives. The database coverage is broad, spanning sixty-four countries, and with quarterly data for the period 2000:Q1 through 2014:Q4. The five types of prudential instruments in the database are capital buffers, interbank exposure limits, concentration limits, loan-to-value (LTV) ratio limits, and reserve requirements. A total of nine prudential tools are constructed since some useful further decompositions are presented, with capital buffers divided into four sub-indexes: general capital requirements, specific capital buffers related to real estate credit, specific capital buffers related to consumer credit, and other specific capital buffers; and with reserve requirements divided into two sub-indexes: domestic-currency capital requirements and foreign-currency capital requirements. While general capital requirements have the most changes from the cross-country perspective, LTV ratio limits and reserve requirements have the largest number of tightening and loosening episodes. We also analyze the instruments’ usage in relation to the evolution of key variables such as credit, policy rates, and house prices, finding substantial differences in the patterns of loosening or tightening of instruments in relation to business and financial cycles.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (139)

Downloads: (external link)
http://www.ijcb.org/journal/ijcb17q1a17.pdf (application/pdf)
http://www.ijcb.org/journal/ijcb17q1a17.htm (text/html)

Related works:
Working Paper: Changes in Prudential Policy Instruments ---- A New Cross-Country Database (2016)
Working Paper: Changes in Prudential Policy Instruments — A New Cross-Country Database (2016)
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:ijc:ijcjou:y:2017:q:1:a:17

Access Statistics for this article

International Journal of Central Banking is currently edited by Loretta J. Mester

More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().