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

By Zohair Alam, Adrian Alter, Jesse Eiseman, Gaston Gelos, Heedon Kang, Machiko Narita, Erlend Nier, Naixi Wang

March 22, 2019

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Zohair Alam, Adrian Alter, Jesse Eiseman, Gaston Gelos, Heedon Kang, Machiko Narita, Erlend Nier, and Naixi Wang. Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database, (USA: International Monetary Fund, 2019) accessed December 3, 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 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.

Subject: Consumer credit, Consumption, Credit, Macroprudential policy, Macroprudential policy instruments

Keywords: Credit growth, Household credit, Limit data, Limit series, LTV adjustment, LTV cap, LTV limit, WP

Publication Details

Pages:

57
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2019/066
Stock No:

WPIEA2019066
ISBN:

9781498302708
ISSN:

1018-5941

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