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

Author/Editor:

Zohair Alam ; Adrian Alter ; Jesse Eiseman ; R. G Gelos ; Heedon Kang ; Machiko Narita ; Erlend Nier ; Naixi Wang

Publication Date:

March 22, 2019

Electronic Access:

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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.

Series:

Working Paper No. 19/66

Subject:

English

Publication Date:

March 22, 2019

ISBN/ISSN:

9781498302708/1018-5941

Stock No:

WPIEA2019066

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

57

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