Foreword to: Measuring the Effectiveness of Macroprudential Policies Using Supervisory Bank-Level Data

2 Pages Posted: 19 Mar 2020

Date Written: February 19, 2020

Abstract

One of the main challenges in implementing a new framework for financial stability is evaluating the effectiveness of macroprudential policies. Most of the evidence produced so far has been obtained from country- or bank-level data using publicly available sources at the annual frequency. The low granularity of the data makes it very difficult to clearly disentangle supply and demand effects and assess the effectiveness of the policies over time. Consequently, in 2018 the BIS initiated a research protocol project on “Measuring the effectiveness of macroprudential policies using supervisory bank-level data” with a quarterly frequency.

The project focused on the effectiveness of macroprudential policies on containing excessive household credit growth and bank risk using bank-level data. When analysing these effects, we control for bank-specific characteristics and macroeconomic variables. In a second step, the project evaluates whether the responses to a macroprudential shock differ for banks with different characteristics. Finally, the project also analyses how the effectiveness of macroprudential policies can be affected by monetary policy stance, the business cycle and the financial cycle. The quarterly frequency helps us to analyse the different steps in the transmission mechanisms. Carlos Cantú, Leonardo Gambacorta and Ilhyock Shim of the BIS were the project’s research advisers.

Supervisory data are highly confidential. This means that it is not possible to merge the data into a single data set. The only possibility is to coordinate a common exercise and summarise the different results. The BIS sent a research protocol to the Asian Consultative Council (ACC) central banks in June 2018. Five ACC central banks agreed to join the exercise: the Reserve Bank of Australia (RBA), Bank Indonesia (BI), the Reserve Bank of New Zealand (RBNZ), Bangko Sentral ng Pilipinas (BSP) and the Bank of Thailand (BOT). Each central bank developed its own analysis, following the methodology from the protocol to enhance the comparability of the results. Preliminary results were presented in two Asian Research Network workshops held in New Zealand and Australia, respectively. Taking into account the comments from the two workshops, the authors of the five country papers finalised them in September 2019. Results were summarised using meta-analysis techniques.

This volume is a collection consisting of the six papers. Here we provide a synopsis for time-constrained readers.

Full Publication: Measuring the Effectiveness of Macroprudential Policies Using Supervisory Bank-Level Data

Suggested Citation

Settlements, Bank for International, Foreword to: Measuring the Effectiveness of Macroprudential Policies Using Supervisory Bank-Level Data (February 19, 2020). BIS Paper No. 110a, Available at SSRN: https://ssrn.com/abstract=3550127

Bank for International Settlements (Contact Author)

Bank for International Settlements (BIS) ( email )

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Basel, Basel-Stadt 4051
Switzerland

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