Global Financial Cycle, Household Credit, and Macroprudential Policies

Camelia Minoiu, Irina Mihai (), José-Luis Peydró and Mircea Epure
Authors registered in the RePEc Author Service: Jose-Luis Peydro

No 1006, Working Papers from Barcelona School of Economics

Abstract: We show that macroprudential policies dampen the impact of global financial conditions on local bank credit cycles. For identification, we exploit variation in the U.S. VIX and household and business credit registers in an emerging market economy where banks depend on foreign funding and macroprudential measures vary over the full cycle. Our results suggest that when the VIX is low, tighter macroprudential policies reduce household lending, notably for riskier (FX and high DSTI) loans and by banks dependent on foreign funding. Moreover, they increase (less regulated) local currency lending to real estate firms, while leaving business lending to other firms unchanged. Such periods are associated with less subsequent total lending to households and firms and with a lower share of FX loans at the local level. Consistently, when the VIX is low, tighter macroprudential policies dampen house prices and economic activity.

Keywords: banks; global financial cycle; macroprudential policies; boom-bust credit cycle; household and business credit; foreign funding (search for similar items in EconPapers)
JEL-codes: E58 F30 G01 G21 G28 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mon and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Related works:
Journal Article: Global Financial Cycle, Household Credit, and Macroprudential Policies (2024)
Working Paper: Global financial cycle, household credit, and macroprudential policies (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:1006

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