The Impact of Macroprudential Policy on Credit Growth in Nine Euro Area Economies

Lorenčič Eva (), Volčjak Robert () and Festić Mejra ()
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Lorenčič Eva: UBS Group AG, Bahnhofstrasse 45, 8001 Zürich, Switzerland
Volčjak Robert: Bank of Slovenia, Slovenska 35, 1505 Ljubljana, Slovenia
Festić Mejra: University of Maribor, Faculty of Economics and Business, Razlagova 14, 2000 Maribor, Slovenia

Naše gospodarstvo/Our economy, 2023, vol. 69, issue 2, 1-14

Abstract: In this paper, we investigate the impact of macroprudential policy measures (bundled together into a macroprudential policy index, MPI) on the non-financial corporate sector credit and household credit growth using a one-step system GMM empirical research method. The goal of our paper is to test whether contractionary macroprudential policy stymies credit growth rate and whether expansionary macroprudential policy spurs credit growth rate in selected Euro Area economies (Austria, Belgium, Finland, Germany, Ireland, Italy, Netherlands, Slovenia, and Spain) over the period 2008Q4–2018Q4. We test two hypotheses: H1: The tightening of macroprudential policy measures reduces the non-financial corporate sector credit growth rate, and H2: The tightening of macroprudential policy measures reduces the growth rate of household credit. Based on our empirical results, we can confirm the first hypothesis. In contrast, the second hypothesis can be neither confirmed nor rejected since the explanatory variable of interest (MPI) is statistically insignificant in the second model.

Keywords: Macroprudential policy; Systemic risk; Financial stability; Dynamic panel data; One-step system GMM (search for similar items in EconPapers)
JEL-codes: E44 E58 E60 G28 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ngooec:v:69:y:2023:i:2:p:1-14:n:3

DOI: 10.2478/ngoe-2023-0007

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