Changes in Prudential Policy Instruments — A New Cross-Country Database
IMF Working Papers, June 8, 2016
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Bibliographic details
- Authors: Eugenio M Cerutti, Ricardo Correa, Elisabetta Fiorentino, Esther Segalla
- Published: June 8, 2016
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475574517.001
Database coverage and structure
- Coverage spans 64 countries.
- Frequency: quarterly data for the period 2000Q1 through 2014Q4.
- Total pages of the paper: 23.
- Series: Working Paper No. 2016/110; Volume: 2016; Issue: 110; ISBN: 9781475574517; ISSN: 1018-5941; DOI: https://doi.org/10.5089/9781475574517.001.
Prudential instruments and index construction
- Five types of prudential instruments in the database:
- capital buffers
- interbank exposure limits
- concentration limits
- loan to value (LTV) ratio limits
- reserve requirements
- A total of nine prudential tools are constructed, reflecting further decompositions:
- Capital buffers divided into four subindices:
- general capital requirements
- real state credit specific capital buffers
- consumer credit specific capital buffers
- other specific capital buffers
- Reserve requirements divided into two sub-indices:
- domestic currency capital requirements
- foreign currency capital requirements
Key empirical findings
- General capital requirements have the most changes from the cross-country perspective.
- LTV ratio limits and reserve requirements have the largest number of tightening and loosening episodes.
- The paper analyzes instruments’ usage in relation to the evolution of key variables such as credit, policy rates, and house prices, finding substantial differences in the patterns of loosening or tightening of instruments in relation to business and financial cycles.
Thematic focus and subjects covered
- Macro-prudential and micro-prudential objectives are both taken into account in the database design.
- Subjects listed: Central bank policy rate, Countercyclical capital buffers, Credit, Financial regulation and supervision, Financial sector policy and analysis, Financial services, Macroprudential policy instruments, Monetary policy, Money, Reserve requirements.
- Keywords included: capital requirements, Central bank policy rate, concentration limit, Countercyclical capital buffers, Credit, credit growth, Financial cycles, Global, house price, LTV, LTV cap, LTV ratio limit, Macroprudential policies, Macroprudential policy instruments, Microprudential Policies, price, rate, ratio, Reserve requirements, WP.
Source: Changes in Prudential Policy Instruments — A New Cross-Country Database, IMF Working Papers 2016/110.