Please use this identifier to cite or link to this item:
Title: Macroprudential tools transmission and modelling
Authors: Davis, EP
Carreras, O
Keywords: Macroprudential policy;House prices;Credit;Systemic riisk
Issue Date: 2016
Publisher: National Institute of Economic and Social Research
Citation: Macroprudential tools transmission and modelling, (2016)
Abstract: The purpose of this paper is twofold. First, we review the theoretical and empirical literature on macroprudential policies and tools. Second, we test empirically the effectiveness of several macroprudential policies and tools using three datasets from the IMF and BIS that cover up to 19 OECD countries during 2000-2014, thus giving wide coverage of instruments. In addition, our focus on OECD countries gives us access to a wider range of control variables whose omission may lead to excessively favourable results on the impact of macroprudential policies. We find evidence that macroprudential polices are effective at curbing house price and credit growth, albeit some tools are more effective than others. These include, in particular, taxes on financial institutions and strict loan-to-value and debt-to-income ratio limits.
ISSN: Discussion Paper 470
Discussion Paper 470
Appears in Collections:Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
Fulltext.docx668.48 kBUnknownView/Open

Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.