Capital and Currency-Based Macroprudential Policies: An Evaluation Using Credit Registry Data

Horacio Aguirre and Gaston Repetto

No 201877, BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department

Abstract: We aim to assess the impact of capital- and currency-based macroprudential policy measures on credit growth at the bank-firm level, using credit registry data from Argentina. We examine the impact of the introduction and tightening of a capital buffer and a limit on the foreign currency position of financial institutions on credit growth of firms, estimating fixed effects and difference-in-difference models for the period 2009-2014; we control for macroeconomic, financial institutions and firms's variables, both observable and unobservable. We find that: the capital buffer and the limits on foreign currency positions generally contribute to moderating the credit cycle, both when introduced and when tightened; the currency-based measure appears to have a quantitatively more important impact; both measures operate on the extensive and the intensive margins, and have an impact on credit supply. Macroprudential policies also have an effect on ex post credit quality: growth of non-performing loans is reduced after their implementation. In general, credit granted by banks with more capital and assets evidences a higher impact of the introduction of the capital buffer, while this measure also acts more strongly during economic activity expansions.

Keywords: macroprudential policy; credit registry data; panel data models (search for similar items in EconPapers)
JEL-codes: C33 E58 G28 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2018-02
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bcra.gov.ar/Institucional/DescargaPDF/DownloadPDF.aspx?Id=620 English version (application/pdf)

Related works:
Working Paper: Capital and currency-based macroprudential policies: an evaluation using credit registry data (2017)
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:bcr:wpaper:201877

Access Statistics for this paper

More papers in BCRA Working Paper Series from Central Bank of Argentina, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Federico Grillo ().