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Assessing the Effects of Borrower-Based Macroprudential Policy on Credit in the EU Using Intensity-Based Indices

Lara Coulier () and Selien De Schryder
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Selien De Schryder: -

Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium from Ghent University, Faculty of Economics and Business Administration

Abstract: We construct new data-driven intensity-adjusted indices for a broad set of macroprudential policy announcements in the European Union (EU) that are able to capture the restrictiveness and bindingness of the macroprudential policy actions. The indices are used to assess the effectiveness of borrower-based macroprudential policy in reducing credit in the EU from 1995 to 2019. Our results indicate that these instruments have successfully reduced household, housing, and to a smaller extent consumption credit, especially in the long run. Moreover, we find that standard dummy approaches used to measure macroprudential policy signal different effects of borrower-based policies in our sample and are more sensitive to outliers, resulting in deceptive and incomplete results.

Keywords: Macroprudential policy; intensity-adjustment; household credit; panel data analysis (search for similar items in EconPapers)
JEL-codes: C23 E58 G18 G28 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2022-04
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eec, nep-fdg, nep-mac, nep-mon and nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:rug:rugwps:22/1044

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