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

58 Pages Posted: 15 Apr 2019

See all articles by Zohair Alam

Zohair Alam

International Monetary Fund (IMF)

Adrian Alter

International Monetary Fund

Jesse Elseman

International Monetary Fund (IMF)

Gaston Gelos

International Monetary Fund

Heedon Kang

International Monetary Fund (IMF)

Machiko Narita

International Monetary Fund (IMF)

Erlend Nier

International Monetary Fund (IMF)

Naixi Wang

University of Oxford - Said Business School

Date Written: March 2019

Abstract

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.

Keywords: Mortgages, Exchange rate policy, Reserve requirements, Household credit, Credit booms, Macroprudential policy, loan-to-value ratios, propensity score, LTV, policy action, reverse causality, endogeneity, appendix IV

JEL Classification: E58, G28, E52, E01, G21, K2, O24

Suggested Citation

Alam, Zohair and Alter, Adrian and Elseman, Jesse and Gelos, R. Gaston and Kang, Heedon and Narita, Machiko and Nier, Erlend and Wang, Naixi, Digging Deeper--Evidence on the Effects of Macroprudential Policies from a New Database (March 2019). IMF Working Paper No. 19/66. Available at SSRN: https://ssrn.com/abstract=3370962

Zohair Alam (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Adrian Alter

International Monetary Fund ( email )

700 19th St NW
Washington, DC 20431
United States

Jesse Elseman

International Monetary Fund (IMF)

700 19th Street, N.W.
Washington, DC 20431
United States

R. Gaston Gelos

International Monetary Fund ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Heedon Kang

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Machiko Narita

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Erlend Nier

International Monetary Fund (IMF)

700 19th Street, N.W.
Washington, DC 20431
United States

Naixi Wang

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 1HP
Great Britain

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