Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country
IMF Working Papers, January 24, 2018
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- Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country
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Bibliographic details
- Authors: Mircea Epure, Irina Mihai, Camelia Minoiu, José-Luis Peydró
- Published: January 24, 2018
- Series: IMF Working Papers
Overview and data
- Publication title: Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country
- Authors: Mircea Epure, Irina Mihai, Camelia Minoiu, José-Luis Peydró
- Publication date: January 24, 2018
- Period analyzed: 2004-2012
- Country/context: Romania, small open economy subject to external shocks
- Data source: comprehensive credit register containing all bank loans to individuals in Romania
- Publication details:
- Series: Working Paper No. 2018/013
- Issue: 013
- Volume: 2018
- Pages: 46
- Stock No: WPIEA2018013
- ISBN: 9781484338599
- ISSN: 1018-5941
- Subject tags: Bank credit, Banking, Consumer credit, Credit, Financial institutions, Financial sector policy and analysis, Loans, Macroprudential policy, Money
- Keywords: bank characteristic, Bank credit, bank variable, Consumer credit, Credit, credit register, cross-border spillovers, emerging market economy, FX loan, FX loan growth, Global, global financial cycle, household credit, loan volume, Loans, macroprudential policies, Macroprudential policy, prudential policy, risk profile, WP
Research question and identification
- Objective: Analyze effects of macroprudential policies on local bank credit cycles and interactions with international financial conditions.
- Identification strategy: Exploit a comprehensive household credit register covering all bank loans to individuals in Romania over 2004-2012, a full boom-bust credit cycle when a wide range of macroprudential measures were deployed.
- Novelty claim: First paper to employ a household credit register to study leverage and macroprudential policies over a full economic cycle.
Main empirical findings
- Tighter macroprudential conditions are associated with a significant decline in household credit.
- Effects are substantially stronger for foreign currency (FX) loans than for local currency loans.
- Effects on FX loans are higher for:
- (i) ex-ante riskier borrowers proxied by higher debt-service-to-income ratios
- (ii) banks with greater exposure to foreign funding
- Tighter macroprudential policy has stronger dampening effects on FX lending when:
- global risk appetite is high
- foreign monetary policy is expansionary
- Quantitative effects are in general larger for borrower rather than lender macroprudential policies.
Policy-relevant implications
- Macroprudential tightening can effectively reduce household credit growth, with pronounced impacts on FX-denominated lending.
- Policies targeting borrower characteristics (borrower macroprudential policies) may yield larger quantitative effects than lender-targeted measures.
- Cross-border and international financial conditions (global risk appetite and foreign monetary policy) materially affect the transmission and potency of domestic macroprudential measures, particularly for FX lending.
Source: IMF Working Paper No. 2018/013 by Mircea Epure, Irina Mihai, Camelia Minoiu, and José-Luis Peydró, January 24, 2018.