Effects of Macroprudential Policy: Evidence from Over 6,000 Estimates

Author/Editor:

Juliana Dutra Araujo ; Manasa Patnam ; Adina Popescu ; Fabian Valencia ; Weijia Yao

Publication Date:

May 22, 2020

Electronic Access:

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Summary:

This paper builds a novel database on the effects of macroprudential policy drawing from 58 empirical studies, comprising over 6,000 results on a wide range of instruments and outcome variables. It encompasses information on statistical significance, standardized magnitudes, and other characteristics of the estimates. Using meta-analysis techniques, the paper estimates average effects to find i) statistically significant effects on credit, but with considerable heterogeneity across instruments; ii) weaker and more imprecise effects on house prices; iii) quantitatively stronger effects in emerging markets and among studies using micro-level data; and iii) statistically significant evidence of leakages and spillovers. Other findings include relatively stronger impacts for tightening than loosening actions and negative effects on economic activity in the near term.

Series:

Working Paper No. 20/67

Subject:

English

Publication Date:

May 22, 2020

ISBN/ISSN:

9781513545400/1018-5941

Stock No:

WPIEA2020067

Format:

Paper

Pages:

48

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