IMF Working Papers

Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database

By Zohair Alam, Adrian Alter, Jesse Eiseman, Gaston Gelos, Heedon Kang, Machiko Narita, Erlend Nier, Naixi Wang

March 22, 2019

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Zohair Alam, Adrian Alter, Jesse Eiseman, Gaston Gelos, Heedon Kang, Machiko Narita, Erlend Nier, and Naixi Wang. Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database, (USA: International Monetary Fund, 2019) accessed December 5, 2024

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Summary

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.

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

Publication Details

  • Pages:

    57

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2019/066

  • Stock No:

    WPIEA2019066

  • ISBN:

    9781498302708

  • ISSN:

    1018-5941

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