Macroprudential Policy Spillovers: A Quantitative Analysis

By Heedon Kang, Francis Vitek, Rina Bhattacharya, Phakawa Jeasakul, Sònia Muñoz, Naixi Wang, Rasool Zandvakil

July 24, 2017

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Heedon Kang, Francis Vitek, Rina Bhattacharya, Phakawa Jeasakul, Sònia Muñoz, Naixi Wang, and Rasool Zandvakil. Macroprudential Policy Spillovers: A Quantitative Analysis, (USA: International Monetary Fund, 2017) accessed December 22, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and sectoral macroprudential policy measures often affect cross-border bank credit, whereas capital measures do not. This empirical evidence is stronger for tightening than for loosening measures, is distributed across credit leakage and reallocation effects, and is generally regionally concentrated. Consistently, structural model based simulation analysis indicates that output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide, but are regionally concentrated and economically significant for countries connected by strong trade or financial linkages. This simulation analysis also indicates that countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers.

Subject: Bank credit, Cross-border banking, Financial sector policy and analysis, Financial services, Macroprudential policy, Macroprudential policy instruments, Money, Spillovers

Keywords: Bank credit, Bank credit demand, Bank credit growth, Bank credit spillover, Case studies, Credit leakage effect, Cross-border banking, Event studies, Event study, Global, Liquidity instrument, Macrofinancial spillovers, Macroprudential policy, Macroprudential policy instruments, Panel regressions, Reallocation effect, Spillovers, Structural models, WP

Publication Details

Pages:

45
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2017/170
Stock No:

WPIEA2017170
ISBN:

9781484310991
ISSN:

1018-5941

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