Macroprudential Policy Spillovers: A Quantitative Analysis
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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.
Series:
Working Paper No. 2017/170
Subject:
Bank credit Cross-border banking Financial sector policy and analysis Financial services Macroprudential policy Macroprudential policy instruments Money Spillovers
English
Publication Date:
July 24, 2017
ISBN/ISSN:
9781484310991/1018-5941
Stock No:
WPIEA2017170
Pages:
45
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