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Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database

Author

Listed:
  • Zohair Alam
  • Mr. Adrian Alter
  • Jesse Eiseman
  • Mr. Gaston Gelos
  • Mr. Heedon Kang
  • Mr. Machiko Narita
  • Erlend Nier
  • Naixi Wang

Abstract

This paper introduces a new comprehensive database of macroprudential policies, which combines information from various sources and covers 134 countries from January 1990 to December 2016. Using these data, we first confirm that loan-targeted instruments have a significant impact on household credit, and a milder, dampening effect on consumption. Next, we exploit novel numerical information on loan-to-value (LTV) limits using a propensity-score-based method to address endogeneity concerns. The results point to economically significant and nonlinear effects, with a declining impact for larger tightening measures. Moreover, the initial LTV level appears to matter; when LTV limits are already tight, the effects of additional tightening on credit is dampened while those on consumption are strengthened.

Suggested Citation

  • Zohair Alam & Mr. Adrian Alter & Jesse Eiseman & Mr. Gaston Gelos & Mr. Heedon Kang & Mr. Machiko Narita & Erlend Nier & Naixi Wang, 2019. "Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database," IMF Working Papers 2019/066, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2019/066
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    References listed on IDEAS

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    Keywords

    WP; LTV limit; credit growth; household credit; limit series; limit data; LTV adjustment; LTV cap;
    All these keywords.

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