{
  "title": "Macroprudential Policy Spillovers: A Quantitative Analysis",
  "publication": "IMF Working Papers, July 24, 2017",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2017/07/24/macroprudential-policy-spillovers-a-quantitative-analysis-45062",
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  "summary": "This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods.",
  "sections": [
    {
      "heading": "Overview",
      "content": "- Authors: Heedon Kang, Francis Vitek, Rina Bhattacharya, Phakawa Jeasakul, Sònia Muñoz, Naixi Wang, Rasool Zandvakil\n- Date: July 24, 2017\n- Core objective: Analyze cross-border macrofinancial spillovers from a variety of macroprudential policy measures using a range of quantitative methods (event study, panel regression, structural model simulations)."
    },
    {
      "heading": "Key empirical findings (event study and panel regressions)",
      "content": "- Liquidity and sectoral macroprudential policy measures often affect cross-border bank credit.\n- Capital measures do not affect cross-border bank credit.\n- Empirical evidence is stronger for tightening measures than for loosening measures.\n- Effects are distributed across credit leakage and reallocation effects.\n- Spillovers are generally regionally concentrated."
    },
    {
      "heading": "Structural model simulation results",
      "content": "- Output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide.\n- Spillovers are regionally concentrated and economically significant for countries connected by strong trade or financial linkages.\n- Countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers."
    },
    {
      "heading": "Policy implications and interpretation",
      "content": "- Sectoral and liquidity macroprudential measures can transmit cross-border via changes in bank credit, with stronger effects when measures tighten.\n- Capital-based macroprudential measures may be less effective in generating cross-border credit spillovers compared with liquidity and sectoral tools.\n- Policymakers should consider regional linkages—trade and financial connections—when assessing spillover magnitudes and designing macroprudential measures.\n- Countercyclical capital buffer adjustments warrant attention for their potential to generate sizeable regional spillovers and thus for coordination across linked jurisdictions.\n\n---\n\n Content in this bundle\n\n- Macroprudential Policy Spillovers: A Quantitative Analysis, WP/17/170, July 2017\n  - Macroprudential Policy Spillovers: A Quantitative Analysis, WP/17/170, July 2017 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Macroprudential Policy Spillovers: A Quantitative Analysis, WP/17/170, July 2017 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2017/07/24/macroprudential-policy-spillovers-a-quantitative-analysis-45062"
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    "Authors: Heedon Kang, Francis Vitek, Rina Bhattacharya, Phakawa Jeasakul, Sònia Muñoz, Naixi Wang, Rasool Zandvakil",
    "Published: July 24, 2017",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781484310991.001",
    "Authors: Heedon Kang, Francis Vitek, Rina Bhattacharya, Phakawa Jeasakul, Sònia Muñoz, Naixi Wang, Rasool Zandvakil",
    "Date: July 24, 2017",
    "Core objective: Analyze cross-border macrofinancial spillovers from a variety of macroprudential policy measures using a range of quantitative methods (event study, panel regression, structural model simulations).",
    "Liquidity and sectoral macroprudential policy measures often affect cross-border bank credit.",
    "Capital measures do not affect cross-border bank credit.",
    "Empirical evidence is stronger for tightening measures than for loosening measures.",
    "Effects are distributed across credit leakage and reallocation effects.",
    "Spillovers are generally regionally concentrated.",
    "Output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide.",
    "Spillovers are regionally concentrated and economically significant for countries connected by strong trade or financial linkages.",
    "Countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers.",
    "Sectoral and liquidity macroprudential measures can transmit cross-border via changes in bank credit, with stronger effects when measures tighten.",
    "Capital-based macroprudential measures may be less effective in generating cross-border credit spillovers compared with liquidity and sectoral tools.",
    "Policymakers should consider regional linkages—trade and financial connections—when assessing spillover magnitudes and designing macroprudential measures.",
    "Countercyclical capital buffer adjustments warrant attention for their potential to generate sizeable regional spillovers and thus for coordination across linked jurisdictions.",
    "**Macroprudential Policy Spillovers: A Quantitative Analysis, WP/17/170, July 2017**"
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