Economics at your fingertips  

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
References: Add references at CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
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:

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Jim Beardow ().

Page updated 2020-02-23
Handle: RePEc:imf:imfwpa:19/66