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On the effects of macroprudential policies on Growth-at-Risk

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  • Franta, Michal
  • Gambacorta, Leonardo

Abstract

The Growth-at-Risk (GaR) measure for financial stability indicates how severe a recession could become in an extreme situation where future output growth falls into the 5th percentile of the distribution. In this letter, we estimate the effects of macroprudential policies on GaR by combining quantile regressions with local projections in a panel data setting. Our results indicate that the effect of macroprudential measures on GaR could be significant in the medium term. Tightening the loan-to-value limit narrows the whole GDP distribution, while doing the same to loan-loss provisions just moves the left tail of the distribution upward, reducing only the intensity of a potential crisis.

Suggested Citation

  • Franta, Michal & Gambacorta, Leonardo, 2020. "On the effects of macroprudential policies on Growth-at-Risk," Economics Letters, Elsevier, vol. 196(C).
    • Handle: RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303074
    DOI: 10.1016/j.econlet.2020.109501
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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