Capital and currency-based macroprudential policies: an evaluation using credit registry data

Horacio Aguirre and Gaston Repetto

No 672, BIS Working Papers from Bank for International Settlements

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' 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: 40 pages
Date: 2017-11
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
https://www.bis.org/publ/work672.pdf Full PDF document (application/pdf)
https://www.bis.org/publ/work672.htm (text/html)

Related works:
Working Paper: Capital and Currency-Based Macroprudential Policies: An Evaluation Using Credit Registry Data (2018)
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:bis:biswps:672

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().