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The Impact of Macroprudential Policy on Credit Growth in Nine Euro Area Economies

Author

Listed:
  • Lorenčič Eva

    (1 UBS Group AG, Bahnhofstrasse 45, 8001, Zürich, Switzerland)

  • Volčjak Robert

    (2 Bank of Slovenia, Slovenska 35, 1505, Ljubljana, Slovenia)

  • Festić Mejra

    (3 University of Maribor, Faculty of Economics and Business, Razlagova 14, 2000, Maribor, Slovenia)

Abstract

In this paper, we investigate the impact of macroprudential policy measures (bundled together into a macroprudential policy index, MPI) on the non-financial corporate sector credit and household credit growth using a one-step system GMM empirical research method. The goal of our paper is to test whether contractionary macroprudential policy stymies credit growth rate and whether expansionary macroprudential policy spurs credit growth rate in selected Euro Area economies (Austria, Belgium, Finland, Germany, Ireland, Italy, Netherlands, Slovenia, and Spain) over the period 2008Q4–2018Q4. We test two hypotheses: H1: The tightening of macroprudential policy measures reduces the non-financial corporate sector credit growth rate, and H2: The tightening of macroprudential policy measures reduces the growth rate of household credit. Based on our empirical results, we can confirm the first hypothesis. In contrast, the second hypothesis can be neither confirmed nor rejected since the explanatory variable of interest (MPI) is statistically insignificant in the second model.

Suggested Citation

  • Lorenčič Eva & Volčjak Robert & Festić Mejra, 2023. "The Impact of Macroprudential Policy on Credit Growth in Nine Euro Area Economies," Naše gospodarstvo/Our economy, Sciendo, vol. 69(2), pages 1-14, June.
    • Handle: RePEc:vrs:ngooec:v:69:y:2023:i:2:p:1-14:n:3
    DOI: 10.2478/ngoe-2023-0007
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    Keywords

    Macroprudential policy; Systemic risk; Financial stability; Dynamic panel data; One-step system GMM;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E60 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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