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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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File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=25296
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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
Email:
Web page: http://www.imf.org/external/pubind.htm
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Web: http://www.imf.org/external/pubs/pubs/ord_info.htm

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;

This paper has been announced in the following NEP Reports:

References

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  1. M Arellano & O Bover, 1990. "Another Look at the Instrumental Variable Estimation of Error-Components Models," CEP Discussion Papers dp0007, Centre for Economic Performance, LSE.
  2. Giovanni Dell'Ariccia & Robert Marquez, 2006. "Lending Booms and Lending Standards," Journal of Finance, American Finance Association, vol. 61(5), pages 2511-2546, October.
  3. 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.
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Citations

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Cited by:
  1. Canuto, Otaviano & Cavallari, Matheus, 2013. "Asset Prices, Macroprudential Regulation, and Monetary Policy," World Bank - Economic Premise, The World Bank, issue 116, pages 1-8, May.
  2. Kenneth N. Kuttner & Ilhyock Shim, 2013. "Can Non-Interest Rate Policies Stabilize Housing Markets? Evidence from a Panel of 57 Economies," NBER Working Papers 19723, National Bureau of Economic Research, Inc.
  3. Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
  4. Otaviano Canuto & Matheus Cavallari, 2013. "Asset Prices, Macro Prudential Regulation, and Monetary Policy," World Bank Other Operational Studies 16116, The World Bank.
  5. repec:wil:wileco:2013-20 is not listed on IDEAS
  6. Tovar, Camilo & Garcia-Escribano, Mercedes & Vera, Mercedes, 2012. "El crecimiento del crédito y la efectividad de los requerimientos de encaje y otros instrumentos macroprudenciales en América Latina," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 24, pages 45-64.
  7. Cheng Hoon Lim & Ivo Krznar & Fabian Lipinsky & Akira Otani & Xiaoyong Wu, 2013. "The Macroprudential Framework," IMF Working Papers 13/166, International Monetary Fund.
  8. Cihak, Martin & Demirguc-Kunt, Asli & Johnston, R. Barry, 2013. "Incentive audits : a new approach to financial regulation," Policy Research Working Paper Series 6308, The World Bank.
  9. Nicolas E. Magud & Carmen M. Reinhart & Esteban R. Vesperoni, 2011. "Capital Inflows, Exchange Rate Flexibility, and Credit Booms," NBER Working Papers 17670, National Bureau of Economic Research, Inc.
  10. Erlend Nier & Luis Ignacio Jácome & Jacek Osinski & Pamela Madrid, 2011. "Towards Effective Macroprudential Policy Frameworks," IMF Working Papers 11/250, International Monetary Fund.
  11. Claessens, Stijn & Ghosh, Swati R. & Mihet, Roxana, 2013. "Macro-prudential policies to mitigate financial system vulnerabilities," Journal of International Money and Finance, Elsevier, vol. 39(C), pages 153-185.
  12. Mynor Meza & Fernando L Delgado, 2011. "Developments in Financial Supervision and the Use of Macroprudential Measures in Central America," IMF Working Papers 11/299, International Monetary Fund.
  13. Paolo Angelini & Sergio Nicoletti-Altimari & Ignazio Visco, 2012. "Macroprudential, microprudential and monetary policies: conflicts, complementarities and trade-offs," Questioni di Economia e Finanza (Occasional Papers) 140, Bank of Italy, Economic Research and International Relations Area.
  14. Patrick A. Imam & Erlend Nier & Luis Ignacio Jácome, 2012. "Building Blocks for Effective Macroprudential Policies in Latin America," IMF Working Papers 12/183, International Monetary Fund.
  15. Francesco Spadafora & Emidio Cocozza & Andrea Colabella, 2011. "The Impact of the Global Crisison South-Eastern Europe," IMF Working Papers 11/300, International Monetary Fund.
  16. International Monetary Fund, 2012. "Credit Growth and the Effectiveness of Reserve Requirements and Other Macroprudential Instruments in Latin America," IMF Working Papers 12/142, International Monetary Fund.
  17. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
  18. Antje Hildebrandt & Reiner Martin & Katharina Steiner & Karin Wagner, 2012. "Residential Property Markets in CESEE EU Member States," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1.
  19. Jerome Vandenbussche & Ursula Vogel & Enrica Detragiache, 2012. "Macroprudential Policies and Housing Price," IMF Working Papers 12/303, International Monetary Fund.

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