Impact of Macroprudential Policy on Economic Growth: A Survey on Growth‐at‐Risk Approach

This survey reviews studies that measure the effectiveness of macroprudential policy (MP) using the Growth‐at‐Risk (GaR) approach. It provides a comprehensive overview of why and how GaR is applied to assess the stance of MP, followed by a literature review highlighting key findings and contributions from empirical research. We analyze the main issues and challenges that persist in the literature and offer potential solutions as a central contribution of this study. Key challenges include the measurement and intensity of the MP variable, the mitigation of its endogeneity, and various methodological concerns. We propose improvements in how the policy and its intensity are measured, discuss approaches to address policy endogeneity, and explore different data sources. Finally, we conclude the review by offering insights into future directions for GaR‐based macroprudential methodology. The main takeaway from the literature is that evaluating the stance of macroprudential policy remains challenging. The MP variable is difficult to define, as it encompasses numerous measures with varying intensities. Data sources and the transformation of indicators also play a critical role. Future research should focus more on refining model inputs, clarifying their definitions, and addressing methodological limitations.