IMF Working Papers

Changes in Prudential Policy Instruments — A New Cross-Country Database

By Eugenio M Cerutti, Ricardo Correa, Elisabetta Fiorentino, Esther Segalla

June 8, 2016

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Eugenio M Cerutti, Ricardo Correa, Elisabetta Fiorentino, and Esther Segalla. Changes in Prudential Policy Instruments — A New Cross-Country Database, (USA: International Monetary Fund, 2016) accessed September 18, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper documents the features of a new database that focuses on changes in the intensity in the usage of several widely used prudential tools, taking into account both macro-prudential and micro-prudential objectives. The database coverage is broad, spanning 64 countries, and with quarterly data for the period 2000Q1 through 2014Q4. The five types of prudential instruments in the database are: capital buffers, interbank exposure limits, concentration limits, loan to value (LTV) ratio limits, and reserve requirements. A total of nine prudential tools are constructed since some useful further decompositions are presented, with capital buffers divided into four subindices: general capital requirements, real state credit specific capital buffers, consumer credit specific capital buffers, and other specific capital buffers; and with reserve requirements divided into two sub-indices: domestic currency capital requirements and foreign currency capital requirements. While general capital requirements have the most changes from the cross-country perspective, LTV ratio limits and reserve requirements have the largest number of tightening and loosening episodes. We also analyze the instruments’ usage in relation to the evolution of key variables such as credit, policy rates, and house prices, finding substantial differences in the patterns of loosening or tightening of instruments in relation to business and financial cycles.

Subject: Central bank policy rate, Countercyclical capital buffers, Credit, Financial regulation and supervision, Financial sector policy and analysis, Financial services, Macroprudential policy instruments, Monetary policy, Money, Reserve requirements

Keywords: Capital requirements, Central bank policy rate, Concentration limit, Countercyclical capital buffers, Credit, Credit growth, Financial cycles, Global, House price, LTV, LTV cap, LTV ratio limit, Macroprudential policies, Macroprudential policy instruments, Microprudential Policies, Price, Rate, Ratio, Reserve requirements, WP

Publication Details

  • Pages:

    23

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2016/110

  • Stock No:

    WPIEA2016110

  • ISBN:

    9781475574517

  • ISSN:

    1018-5941