Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database
IMF Working Papers, March 22, 2019
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- Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database
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Bibliographic details
- Authors: Zohair Alam, Adrian Alter, Jesse Eiseman, Heedon Kang, Machiko Narita, Erlend Nier, Naixi Wang
- Published: March 22, 2019
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781498302708.001
Database and scope
- New comprehensive database of macroprudential policies combining information from various sources.
- Coverage: 134 countries from January 1990 to December 2016.
- Supplemental resources: Link to data for this title (ZIP).
Research methods
- Uses the constructed database to evaluate effects of macroprudential instruments.
- Exploits novel numerical information on loan-to-value (LTV) limits.
- Addresses endogeneity concerns using a propensity-score-based method.
Key findings
- Loan-targeted instruments have a significant impact on household credit.
- Loan-targeted instruments have a milder, dampening effect on consumption.
- LTV limit results:
- Economically significant and nonlinear effects.
- Declining impact for larger tightening measures.
- Initial LTV level matters:
- When LTV limits are already tight, the effects of additional tightening on credit is dampened.
- When LTV limits are already tight, the effects of additional tightening on consumption are strengthened.
Subjects and keywords
- Subject: Consumer credit, Consumption, Credit, Macroprudential policy, Macroprudential policy instruments
- Keywords: credit growth, household credit, limit data, limit series, LTV adjustment, LTV cap, LTV limit, WP
Content in this bundle
- Working Paper