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Estimation of effects of recent macroprudential policies in a sample of advanced open economies

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We analyse a quarterly panel data set consisting of ten advanced open economies that have introduced macroprudential policy measures: caps on loan to value and income (LTV and LTI), and debt service to income (DSTI) requirements in particular, but also risk weights (RW), amortization (Amort) and, less used, countercyclical buffer (CCyB). Estimation of dynamic panel data models, that also include the central bank rate, and controls for common nominal and real trends, gives support to the view that several of the measures may have reduced credit growth when they were introduced.The estimated impact effects are most significant for LTV, LTI and RW. For Amort, the long-run effect on credit growth is significant, and the same is found for RW. The estimation results when house price growth is the dependent variable are in the main consistent with the results for credit growth. The results do not support that CCyB has reduced lending (as a consequence of higher financing costs), and we suggest that the variable is mainly a control in our data set. In that interpretation, it is interesting that the estimated coefficients of the other five instruments are robust with respect to exclusion of CCyB from the empirical models. The results are also robust to controls in the form of impulse indicator saturation (IIS).

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  • Nymoen, Ragnar & Pedersen, Kari & Sjåberg, Jon Ivar, 2018. "Estimation of effects of recent macroprudential policies in a sample of advanced open economies," Memorandum 5/2018, Oslo University, Department of Economics.
    • Handle: RePEc:hhs:osloec:2018_005
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    Cited by:

    1. Vítor Martins & Alessandro Turrini & Bořek Vašíček & Madalina Zamfir, 2021. "Euro Area Housing Markets: Trends, Challenges and Policy Responses," European Economy - Discussion Papers 147, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    2. Lo Duca, Marco & Hallissey, Niamh & Jurca, Pavol & Kouratzoglou, Charalampos & Lima, Diana & Pirovano, Mara & Prapiestis, Algirdas & Saldías, Martín & Tereanu, Eugen & Bartal, Mehdi & Giedraitė, Edita, 2023. "The more the merrier? Macroprudential instrument interactions and effective policy implementation," Occasional Paper Series 310, European Central Bank.

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    More about this item

    Keywords

    Macroprudential policy measures; house prices; credit growth; open economics; macro panel; impulse indicator saturation; robust estimation;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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