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Does Monetary Policy Reinforce the Effects of Macroprudential Policy

Author

Listed:
  • Adam Gersl

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University)

  • Barbara Livorova

    (Institute of Economic Studies, Faculty of Social Sciences, Charles University & Czech National Bank)

Abstract

This paper contributes to studying the interaction between monetary and macroprudential policies by examining whether the impact of macroprudential policy on credit and house price growth differs between the two key phases of monetary policy cycle, i.e. monetary policy tightening and loosening. The dataset covers 33 advanced and 33 emerging market countries in the period 1990 - 2019 in quarterly frequency. Using the GMM estimation method, the results show that tightening of monetary policy does on average reinforce the effects of macroprudential policy on credit and house prices. Furthermore, we show that this reinforcing effect works for some but not all types of macroprudential policy measures, and that the results differ between advanced countries and emerging markets.

Suggested Citation

  • Adam Gersl & Barbara Livorova, 2023. "Does Monetary Policy Reinforce the Effects of Macroprudential Policy," Working Papers IES 2023/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2023.
    • Handle: RePEc:fau:wpaper:wp2023_15
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    File URL: https://ies.fsv.cuni.cz/en/veda-vyzkum/working-papers/6762
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    More about this item

    Keywords

    Macroprudential Policy; Monetary Policy Cycle; Credit Growth; House Price Growth; Interaction of Policies;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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