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Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database

Zohair Alam, Adrian Alter, Jesse Eiseman, R. Gaston Gelos (), Heedon Kang, Machiko Narita (), Erlend Nier and Naixi Wang

No 19/66, IMF Working Papers from International Monetary Fund

Abstract: This paper introduces a new comprehensive database of macroprudential policies, which combines information from various sources and covers 134 countries from January 1990 to December 2016. Using these data, we first confirm that loan-targeted instruments have a significant impact on household credit, and a milder, dampening effect on consumption. Next, we exploit novel numerical information on loan-to-value (LTV) limits using a propensity-score-based method to address endogeneity concerns. The results point to economically significant and nonlinear effects, with a declining impact for larger tightening measures. Moreover, the initial LTV level appears to matter; when LTV limits are already tight, the effects of additional tightening on credit is dampened while those on consumption are strengthened.

Keywords: Mortgages; Exchange rate policy; Reserve requirements; Household credit; Credit booms; Macroprudential policy,loan-to-value ratios,propensity score,LTV,policy action,reverse causality,endogeneity,appendix IV (search for similar items in EconPapers)
Pages: 57
Date: 2019-03-22
New Economics Papers: this item is included in nep-ban, nep-cba and nep-mac
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