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Macroprudential Policy

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  • International Monetary Fund

Abstract

This paper provides the most comprehensive empirical study of the effectiveness of macroprudential instruments to date. Using data from 49 countries, the paper evaluates the effectiveness of macroprudential instruments in reducing systemic risk over time and across institutions and markets. The analysis suggests that many of the most frequently used instruments are effective in reducing pro-cyclicality and the effectiveness is sensitive to the type of shock facing the financial sector. Based on these findings, the paper identifies conditions under which macroprudential policy is most likely to be effective, as well as conditions under which it may have little impact.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 11/238.

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Length: 85
Date of creation: 01 Oct 2011
Date of revision:
Handle: RePEc:imf:imfwpa:11/238

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Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
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Web page: http://www.imf.org/external/pubind.htm
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Related research

Keywords: Credit; Liquidity; Capital; Banks; Capital inflows; Credit risk; Developed countries; Emerging markets; Exchange rate regimes; Financial risk; Financial sector; reserve requirements; systemic risk; financial crisis; financial system; reserve requirement; global financial crisis; financial institutions; financial stability; bond; macroeconomic policies; currency risk; international financial statistics; bond estimator; credit boom; currency mismatch; capital adequacy; bonds; prudential regulation; hedge; financial markets; pre-crisis; recession; deposit insurance; financial crises; credit booms; hedge funds; financial liberalization; liquidity support; asian crisis; savings deposits; bond issuance; interest rate policy; financial systems; contagion; denominated bonds; international banks; economic crisis; money market deposit; equity markets; derivative; global recession; financial integration; domestic bonds; denominated loans; cross-country experience; flexible exchange rate regimes; liquidity crisis; financial ? stability; financial services; financial intermediation; liquid asset; deposit requirements; banking crisis; portfolio investment; financial deregulation; eurobonds; stock market; currency depreciation; financial cycles; rating system; corporate sector; future financial crises; money market; flexible exchange rate; deposit accounts; resident portfolio investment; foreign exchange derivative; debt servicing; stock prices; rating agencies; equity capital; global economic crisis;

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References

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  1. Heitor Almeida & Murillo Campello & Crocker Liu, 2006. "The Financial Accelerator: Evidence from International Housing Markets," Review of Finance, European Finance Association, vol. 10(3), pages 321-352, September.
  2. Dell''Ariccia, Giovanni & Marquez, Robert, 2005. "Lending Booms and Lending Standards," CEPR Discussion Papers 5095, C.E.P.R. Discussion Papers.
  3. Arellano, Manuel & Bover, Olympia, 1995. "Another look at the instrumental variable estimation of error-components models," Journal of Econometrics, Elsevier, vol. 68(1), pages 29-51, July.
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