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Macroprudential policy stance assessment: the case of Croatia

Author

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  • Tihana Skrinjaric

    (Bank of England, London, UK)

Abstract

This paper contributes to the literature on empirical macroprudential policy (MP) stance assessment. The main purpose of this framework is to evaluate the potential benefits and costs of MP tools and instruments that have been employed in a financial system. We focus on a country that has a fairly active macroprudential policy to establish the initial framework for assessing the effectiveness of macroprudential policy in Croatia. A quantile regression approach is used in order to evaluate the efficiency of the MP stance, on quarterly data ranging from the mid-1990s until 2022. It is shown that somewhat different results could have been obtained if a variable definition has been employed. Measurement of the MP stance is difficult, then, as it depends on the definition of the macroprudential policy variable, selection of other important variables in the analysis, as well as other methodological factors.

Suggested Citation

  • Tihana Skrinjaric, 2024. "Macroprudential policy stance assessment: the case of Croatia," Public Sector Economics, Institute of Public Finance, vol. 48(4), pages 421-463.
    • Handle: RePEc:ipf:psejou:v:48:y:2024:i:4:p:421-463
    DOI: 10.3326/pse.48.4.3
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    References listed on IDEAS

    as
    1. Akinci, Ozge & Olmstead-Rumsey, Jane, 2018. "How effective are macroprudential policies? An empirical investigation," Journal of Financial Intermediation, Elsevier, vol. 33(C), pages 33-57.
    2. Yavuz Arslan and Christian Upper, 2017. "Macroprudential frameworks: implementation and effectiveness," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential frameworks, implementation and relationship with other policies, volume 94, pages 25-47, Bank for International Settlements.
    3. Aikman, David & Bridges, Jonathan & Burgess, Stephen & Galletly, Richard & Levina, Iren & O'Neill, Cian & Varadi, Alexandra, 2018. "Measuring risks to UK financial stability," Bank of England working papers 738, Bank of England.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    systemic risk; macroprudential policy; financial stability; financial conditions; quantile regression; policy assessment; macroprudential stance;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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